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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
