Benchmark and mean-variance problems for insurers
نویسنده
چکیده
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.
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ورودعنوان ژورنال:
- Math. Meth. of OR
دوره 62 شماره
صفحات -
تاریخ انتشار 2005