Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers. (English) Zbl 1269.90085

Summary: This paper investigates a benchmark and a mean-variance portfolio selection problems for insurers under the model assumptions of H. Yang and L. Zhang [Insur. Math. Econ. 37, No. 3, 615–634 (2005; Zbl 1129.91020)]. 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.


90C26 Nonconvex programming, global optimization
91G10 Portfolio theory
49N15 Duality theory (optimization)


Zbl 1129.91020
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