Mathematical Methods of Operations Research

, Volume 62, Issue 1, pp 159–165 | Cite as

Benchmark and mean-variance problems for insurers



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.


stochastic LQ problem Lagrange theory HJB equation 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

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

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