On a "Visual Approach", do I execute a "missed approach" or do I go around?
First, a caution: IFR procedures can (and do) vary between countries. It is incumbent on the pilot to study the respective authority's Aeronautical Information Publication (AIP) to understand local procedures before flight. When asking questions about instrument flight procedures, it is helpful to know which countries you are specifically traveling through. While the vast majority of countries simply adopt ICAO procedures, many have significant deviations (the United States included).

ICAO Doc 4444 (PANS/ATM), section 6.5.3 discusses instrument flight that terminates into a visual approach. Interestingly, the document is silent on what happens if the approach is aborted.

In the United States, the FAA is more explicit. In the Aeronautical Information Manual, section 5-4-23 visual approaches are specifically addressed. Paragraph (e) details what should happen if a visual approach is terminated:


  A visual approach is not an IAP and therefore has no missed approach segment. If a go around is necessary for any reason, aircraft operating at controlled airports will be issued an appropriate advisory/clearance/instruction by the tower. At uncontrolled airports, aircraft are expected to remain clear of clouds and complete a landing as soon as possible. If a landing cannot be accomplished, the aircraft is expected to remain clear of clouds and contact ATC as soon as possible for further clearance. Separation from other IFR aircraft will be maintained under these circumstances.