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2010, Volume 6, Issue 3: 483-496. Doi: 10.3934/jimo.2010.6.483
This issue Previous Article Levitin-Polyak well-posedness for variational inequalities and for optimization problems with variational inequality constraints Next Article A note on mixed type converse duality in multiobjective programming problems

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

  • 1.

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

  • 2.

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

Received:  November 30, 2008
Revised:  February 28, 2010
Published:  June 2010
Abstract Related Papers Cited by
    Abstract
  • 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.
    Mathematics Subject Classification: Primary: 90C26; Secondary: 91B28, 49N15.

    Citation:
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