Journal of applied mathematics & informatics

한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
권호 표지

OPTIMAL INVESTMENT FOR THE INSURER IN THE LEVY MARKET UNDER THE MEAN-VARIANCE CRITERION

  • Liu, Junfeng (Department of Mathematics, East China University of Science and Technology)
  • 투고 : 2009.09.10
  • 심사 : 2009.10.25
  • 발행 : 2010.05.30
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초록

In this paper we apply the martingale approach, which has been widely used in mathematical finance, to investigate the optimal investment problem for an insurer under the criterion of mean-variance. When the risk and security assets are described by the L$\acute{e}$vy processes, the closed form solutions to the maximization problem are obtained. The mean-variance efficient strategies and frontier are also given.

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과제정보

연구 과제 주관 기관 : National Natural Science Foundation of China

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