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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
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