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Benchmark and Mean-Variance problems for insurers

Bäuerle, Nicole

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
Jahr 2005
Sprache Englisch
Identifikator DOI: 10.1007/s00186-005-0446-1
ISSN: 1432-2994
URN: urn:nbn:de:swb:90-436153
KITopen ID: 1000043615
Erschienen in Mathematical Methods of Operations Research
Band 62
Heft 1
Seiten 159-165
Schlagworte stochastic LQ problem, Lagrange theory, HJB equation
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