Benchmark and mean-variance problems for insurers
نویسندگان
چکیده
منابع مشابه
Benchmark and mean-variance problems for insurers
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.
متن کاملOptimal time-consistent investment and reinsurance policies for mean-variance insurers
This paper investigates the optimal time-consistent policies of an investment-reinsurance problem and an investment-only problem under the mean-variance criterion for an insurer whose surplus process is approximated by a Brownianmotionwith drift. The financial market considered by the insurer consists of one risk-free asset and multiple risky assets whose price processes follow geometric Browni...
متن کاملRobust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
In this paper, an ambiguity-averse insurer (AAI) whose surplus process is approximated by a Brownian motion with drift, hopes to manage risk by both investing in a Black-Scholes financial market and transferring some risk to a reinsurer, but worries about uncertainty in model parameters. She chooses to find investment and reinsurance strategies that are robust with respect to this uncertainty, ...
متن کاملOptimal time-consistent investment and reinsurance strategies for meanヨvariance insurers with state dependent risk aversion
In this paper, we study an insurer’s optimal time-consistent strategies under themean–variance criterion with state dependent risk aversion. It is assumed that the surplus process is approximated by a diffusion process. The insurer can purchase proportional reinsurance and invest in a financial market which consists of one risk-free asset andmultiple risky assets whose price processes follow ge...
متن کاملMean - Variance
We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure P ⋆ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P ⋆ coincides with the variance-optimal martin-gale measure relative to the original probability measure P .
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2005
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-005-0446-1