Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion

Junna Bi () and Junyi Guo ()
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Junna Bi: Nankai University, School of Mathematical Sciences
Junyi Guo: Nankai University, School of Mathematical Sciences

A chapter in COMPSTAT 2008, 2008, pp 205-216 from Springer

Abstract: Abstract This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. We obtain the optimal investment policy using the stochastic liner-quadrant (LQ) control theory. Then the efficient strategy (optimal investment strategy) and efficient frontier are derived explicitly by a verification theorem with the classical solution of Hamilton-Jacobi-Bellman (HJB) equation.

Keywords: M-V portfolio selection; optimal investment; efficient frontier (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2084-3_17

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DOI: 10.1007/978-3-7908-2084-3_17

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