Benchmark and mean-variance problems for insurers | Zendy

Nicole Bäuerle | Zendy

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Benchmark and mean-variance problems for insurers

Author(s) -

Nicole Bäuerle

Publication year - 2005

Publication title -

mathematical methods of operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.524

H-Index - 48

eISSN - 1432-5217

pISSN - 1432-2994

DOI - 10.1007/s00186-005-0446-1

Subject(s) - reinsurance , benchmark (surveying) , variance (accounting) , quadratic equation , mathematical optimization , mathematics , quadratic model , computer science , statistics , econometrics , actuarial science , economics , accounting , geodesy , geography , geometry , response surface methodology

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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