Benchmark and Mean-Variance problems for insurers
Bäuerle, Nicole
Abstract:
We consider the classical Cramér-Lundberg model with dynamic proportional reinsurance and solve the problem of finding the optimal reinsurance strategy which minimizes the expected quadratic distance of the risk reserve to a given benchmark. This result is extended to a mean-variance problem.
| Zugehörige Institution(en) am KIT | Institut für Stochastik (STOCH) |
| Publikationstyp | Zeitschriftenaufsatz |
| Publikationsjahr | 2005 |
| Sprache | Englisch |
| Identifikator | ISSN: 1432-2994 urn:nbn:de:swb:90-436153 KITopen-ID: 1000043615 |
| Erschienen in | Mathematical Methods of Operations Research |
| Verlag | Springer |
| Band | 62 |
| Heft | 1 |
| Seiten | 159-165 |
| Schlagwörter | stochastic LQ problem, Lagrange theory, HJB equation |
| Nachgewiesen in | Web of Science Scopus Dimensions |