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.
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Bäuerle, N. Benchmark and mean-variance problems for insurers. Math Meth Oper Res 62, 159–165 (2005). https://doi.org/10.1007/s00186-005-0446-1
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DOI: https://doi.org/10.1007/s00186-005-0446-1