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Benchmark and mean-variance problems for insurers

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  • Nicole Bäuerle

Abstract

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. Copyright Springer-Verlag Berlin Heidelberg 2005

Suggested Citation

  • Nicole Bäuerle, 2005. "Benchmark and mean-variance problems for insurers," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(1), pages 159-165, September.
    • Handle: RePEc:spr:mathme:v:62:y:2005:i:1:p:159-165
    DOI: 10.1007/s00186-005-0446-1
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    Cited by:

    1. Nicole Bäuerle & Ulrich Rieder, 2013. "Optimal Deterministic Investment Strategies for Insurers," Risks, MDPI, vol. 1(3), pages 1-18, November.
    2. Dang, D.M. & Forsyth, P.A., 2016. "Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach," European Journal of Operational Research, Elsevier, vol. 250(3), pages 827-841.
    3. Xiaomin Shi & Zuo Quan Xu, 2024. "Constrained mean-variance investment-reinsurance under the Cram\'er-Lundberg model with random coefficients," Papers 2406.10465, arXiv.org.

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