无终端约束的均值-方差准则下保险公司投资策略

Investment Strategy for Insurers under Mean-variance Criterion without Terminal Constraint

研究均值-方差准则下的保险公司最优投资问题,其中盈余过程由一个跳扩散模型来刻画,而保险公司投资于一种无风险资产和一种风险资产.通过引入Lagrange乘子,利用随机动态规划的方法,得到了保险公司盈余过程的期望终端值不固定情形下的均值-方差模型的最优投资策略和值函数.

An investment problem for mean-variance insurers is studied,where the surplus process of the insurer is assumed to follow a jump-diffusion model.The insurer is allowed to invest its surplus on one risk-free asset and one risky asset.By introducing a Lagrange multiplier and using the stochastic dynamic programming approach,the investment strategy and the value function for the insurer are derived.