Benchmark and mean-variance problems for insurers
- Cite this article as:
- Bäuerle, N. Math Meth Oper Res (2005) 62: 159. doi:10.1007/s00186-005-0446-1
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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.