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Benchmark and mean-variance problems for insurers. (English) Zbl 1101.93081
Summary: 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.

MSC:
93E20 Optimal stochastic control
91G80 Financial applications of other theories
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