OPTIMAL STRATEGIES OF BENCHMARK AND MEAN-VARIANCE PORTFOLIO SELECTION PROBLEMS FOR INSURERS

摘要

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.