Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions

1974 ◽  
Vol 29 (1) ◽  
pp. 27 ◽  
Author(s):  
Paul A. Samuelson ◽  
Robert C. Merton
Keyword(s):  
Portfolio Decisions ◽  
Generalized Mean ◽  
Mean Variance

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

2017 ◽  
Author(s):  
Nicole Branger ◽  
Antje Brigitte Mahayni ◽  
Nikolaus Schweizer
Keyword(s):  
Precautionary Saving ◽  
Generalized Mean ◽  
Mean Variance

scholarly journals Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint

2019 ◽  
Vol 2019 ◽  
pp. 1-7 ◽  
Author(s):  
Yuzhen Wen ◽  
Chuancun Yin
Keyword(s):  
Bellman Equation ◽  
Closed Form Expression ◽  
Proportional Reinsurance ◽  
Form Expression ◽  
Optimal Reinsurance ◽  
Surplus Process ◽  
Hamilton Jacobi Bellman Equation ◽  
Generalized Mean ◽  
Hamilton Jacobi Bellman ◽  
Mean Variance

This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg model. We assume the dynamic VaR constraints for proportional reinsurance. We obtain the closed form expression of the optimal reinsurance strategy and corresponding survival probability under proportional reinsurance.

Sign in / Sign up

Export Citation Format

Share Document