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

Bäuerle, Nicole

Math. Methods Oper. Res. 62, No. 1, 159-165 (2005).

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

Keywords:

stochastic LQ problem; Lagrange theory; HJB equation