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

In: Compstat 2008

Author

Listed:
  • Junna Bi

    (Nankai University, School of Mathematical Sciences)

  • Junyi Guo

    (Nankai University, School of Mathematical Sciences)

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.

Suggested Citation

  • Junna Bi & Junyi Guo, 2008. "Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion," Springer Books, in: Paula Brito (ed.), Compstat 2008, pages 205-216, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2084-3_17
    DOI: 10.1007/978-3-7908-2084-3_17
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