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Portfolio selection and risk control for an insurer in the Lévy market under mean–variance criterion

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  • Zhou, Jieming
  • Yang, Xiangqun
  • Guo, Junyi

Abstract

In this paper, we apply the martingale approach to investigate the optimal investment and risk regulation problem for an insurer. Assume that the insurer is allowed to invest in a financial market consisting of one risk-free asset and one risky asset whose price is modeled by a Lévy process. The risk process of the insurer is described by another Lévy process, and the insurer can regulate the risk by controlling the number of insurance polices. Finally, the closed-form expressions for the efficient strategy and efficient frontier are given under the criterion of mean–variance.

Suggested Citation

  • Zhou, Jieming & Yang, Xiangqun & Guo, Junyi, 2017. "Portfolio selection and risk control for an insurer in the Lévy market under mean–variance criterion," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 139-149.
    • Handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:139-149
    DOI: 10.1016/j.spl.2017.03.008
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    References listed on IDEAS

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    Cited by:

    1. Zhao, Hui & Shen, Yang & Zeng, Yan & Zhang, Wenjun, 2019. "Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 159-180.
    2. Yingxu Tian & Zhongyang Sun & Junyi Guo, 2022. "Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1169-1191, June.

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