American Institute of Mathematical Sciences

Advanced
  • Previous Article
    A note on mixed type converse duality in multiobjective programming problems
  • JIMO Home
  • This Issue
  • Next Article
    Levitin-Polyak well-posedness for variational inequalities and for optimization problems with variational inequality constraints
July  2010, 6(3): 483-496. doi: 10.3934/jimo.2010.6.483

Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers

Yan Zeng 1, , Zhongfei Li 2, and  Jingjun Liu 2,

1. 

School of Mathematics and Computational Science, Sun Yat-sen University, Guangzhou 510275, China
2. 

Department of Risk Management and Insurance, Lingnan (University) College, Sun Yat-sen University, Guangzhou 510275, China, China

Received  December 2008 Revised  March 2010 Published  June 2010

This paper investigates a benchmark and a mean-variance portfolio selection problems for insurers under the model assumptions of Yang and Zhang [20]. Closed-form expressions for the value functions, the optimal investment strategies and the mean-variance efficient frontier are achieved by using the stochastic maximum principle. The optimal strategies are expressed directly in terms of the insurer's wealth process and hence can be easily applied in practice. And a numerical example is given to illustrate our results.
Keywords: Benchmark and mean-variance portfolio selection, Insurers, Jump diffusion, Optimal strategies, Stochastic maximum principle..
Mathematics Subject Classification: Primary: 90C26; Secondary: 91B28, 49N1.
Citation: Yan Zeng, Zhongfei Li, Jingjun Liu. Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers. Journal of Industrial & Management Optimization, 2010, 6 (3) : 483-496. doi: 10.3934/jimo.2010.6.483
[1]

Giuseppina Guatteri, Federica Masiero. Stochastic maximum principle for problems with delay with dependence on the past through general measures. Mathematical Control & Related Fields, 2020  doi: 10.3934/mcrf.2020048
[2]

Haixiang Yao, Ping Chen, Miao Zhang, Xun Li. Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020166
[3]

Youming Guo, Tingting Li. Optimal control strategies for an online game addiction model with low and high risk exposure. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020347
[4]

Jie Li, Xiangdong Ye, Tao Yu. Mean equicontinuity, complexity and applications. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 359-393. doi: 10.3934/dcds.2020167
[5]

Lin Shi, Xuemin Wang, Dingshi Li. Limiting behavior of non-autonomous stochastic reaction-diffusion equations with colored noise on unbounded thin domains. Communications on Pure & Applied Analysis, 2020, 19 (12) : 5367-5386. doi: 10.3934/cpaa.2020242
[6]

Zhiyan Ding, Qin Li, Jianfeng Lu. Ensemble Kalman Inversion for nonlinear problems: Weights, consistency, and variance bounds. Foundations of Data Science, 2020  doi: 10.3934/fods.2020018
[7]

Fabio Camilli, Giulia Cavagnari, Raul De Maio, Benedetto Piccoli. Superposition principle and schemes for measure differential equations. Kinetic & Related Models, , () : -. doi: 10.3934/krm.2020050
[8]

Juan Pablo Pinasco, Mauro Rodriguez Cartabia, Nicolas Saintier. Evolutionary game theory in mixed strategies: From microscopic interactions to kinetic equations. Kinetic & Related Models, , () : -. doi: 10.3934/krm.2020051
[9]

José Madrid, João P. G. Ramos. On optimal autocorrelation inequalities on the real line. Communications on Pure & Applied Analysis, , () : -. doi: 10.3934/cpaa.2020271
[10]

Zonghong Cao, Jie Min. Selection and impact of decision mode of encroachment and retail service in a dual-channel supply chain. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020167
[11]

Zhenzhen Wang, Tianshou Zhou. Asymptotic behaviors and stochastic traveling waves in stochastic Fisher-KPP equations. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020323
[12]

Tommi Brander, Joonas Ilmavirta, Petteri Piiroinen, Teemu Tyni. Optimal recovery of a radiating source with multiple frequencies along one line. Inverse Problems & Imaging, 2020, 14 (6) : 967-983. doi: 10.3934/ipi.2020044
[13]

Lars Grüne, Matthias A. Müller, Christopher M. Kellett, Steven R. Weller. Strict dissipativity for discrete time discounted optimal control problems. Mathematical Control & Related Fields, 2020  doi: 10.3934/mcrf.2020046
[14]

Weiwei Liu, Jinliang Wang, Yuming Chen. Threshold dynamics of a delayed nonlocal reaction-diffusion cholera model. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020316
[15]

Abdelghafour Atlas, Mostafa Bendahmane, Fahd Karami, Driss Meskine, Omar Oubbih. A nonlinear fractional reaction-diffusion system applied to image denoising and decomposition. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020321
[16]

Pierre-Etienne Druet. A theory of generalised solutions for ideal gas mixtures with Maxwell-Stefan diffusion. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020458
[17]

Lorenzo Zambotti. A brief and personal history of stochastic partial differential equations. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 471-487. doi: 10.3934/dcds.2020264
[18]

Yongge Tian, Pengyang Xie. Simultaneous optimal predictions under two seemingly unrelated linear random-effects models. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020168
[19]

Leilei Wei, Yinnian He. A fully discrete local discontinuous Galerkin method with the generalized numerical flux to solve the tempered fractional reaction-diffusion equation. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020319
[20]

S. Sadeghi, H. Jafari, S. Nemati. Solving fractional Advection-diffusion equation using Genocchi operational matrix based on Atangana-Baleanu derivative. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020435

2019 Impact Factor: 1.366

Tools

Metrics

  • PDF downloads (80)
  • HTML views (0)
  • Cited by (29)

Other articles
by authors

[Back to Top]

Copyright © 2020 American Institute of Mathematical Sciences