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Mean-variance portfolio selection for an insurer in theMarkov-modulated market
LI Jin-Zhu *
School of Mathematical Sciences, Nankai University, Tianjin 300071
*Correspondence author
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Funding: Research Fund for the Doctoral Program of Higher Education ofChina （No.20110031120003）
Opened online:11 December 2015
Accepted by: none
Citation: LI Jin-Zhu.Mean-variance portfolio selection for an insurer in theMarkov-modulated market[OL]. [11 December 2015] http://en.paper.edu.cn/en_releasepaper/content/4669068
 
 
This paper studies the optimal investment strategy foran insurer under Markowitz's mean-variance criterion. The insurercan invest in a bond and multiple stocks in a financial market. Themarket parameters, including the interest rate of the bond and theappreciation and volatility rates of the stocks, are modulated by aMarkov chain with finite states. The risk process is described by aclassical compound Poisson model. Using techniques of stochasticlinear-quadratic (LQ) control, the paper obtains the optimalinvestment strategy and efficient frontier.
Keywords:probability; efficient frontier; mean-variancecriterion; Markov-modulated market; portfolio selection
 
 
 

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