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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)
Publication Information
Journal of applied mathematics & informatics / v.28, no.3_4, 2010 , pp. 863-875 More about this Journal
Abstract
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.
Keywords
Mean-variance efficient portfolio; Martingale approach; Forward-backward stochastic differential equation (FBSDE); Insurer;
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