Benchmark and mean-variance problems for insurers

被引：173

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.

引用

页码：159 / 165

页数：7

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