Benchmark and mean-variance problems for insurers

被引：172
|
作者：
Bäuerle, N [1 ]
机构：
[1] Univ Hannover, Inst Math Stochast, D-30167 Hannover, Germany
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2005年 / 62卷 / 01期
关键词：
stochastic LQ problem; Lagrange theory; HJB equation;
D O I：
10.1007/s00186-005-0446-1
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We consider the classical Cramer-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.
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页码：159 / 165
页数：7
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