Optimal investment for an insurer with multiple risky assets under mean-variance criterion

Abstract

This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. We obtain the optimal investment policy using the stochastic liner-quadrant (LQ) control theory. Then the efficient strategy (optimal investment strategy) and efficient frontier are derived explicitly by a verification theorem with the classical solution of Hamilton-Jacobi-Bellman (HJB) equation.