@inproceedings{826d743e87074303844e39e9eefa0e84,
title = "Optimal investment for an insurer with multiple risky assets under mean-variance criterion",
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.",
keywords = "Efficient frontier, M-V portfolio selection, Optimal investment",
author = "Junna Bi and Junyi Guo",
year = "2008",
doi = "10.1007/978-3-7908-2084-3\_17",
language = "英语",
isbn = "9783790820836",
series = "COMPSTAT 2008 - Proceedings in Computational Statistics, 18th Symposium",
publisher = "Springer Berlin Heidelberg",
pages = "205--216",
booktitle = "COMPSTAT 2008 - Proceedings in Computational Statistics, 18th Symposium",
note = "18th Symposium on Computational Statistics, COMPSTAT 2008 ; Conference date: 24-08-2008 Through 29-08-2008",
}