Mathematical Methods of Operations Research

, Volume 62, Issue 1, pp 159–165

Benchmark and mean-variance problems for insurers

Article

DOI: 10.1007/s00186-005-0446-1

Cite this article as:
Bäuerle, N. Math Meth Oper Res (2005) 62: 159. doi:10.1007/s00186-005-0446-1

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.

Keywords

stochastic LQ problem Lagrange theory HJB equation 

Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  1. 1.Institute for Mathematical StochasticsUniversity of Hannover, GermanyHannoverGermany

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