Optimal investment decision for insurer in a jump-diffusion market
跳跃扩散市场的最优保险投资决策

Assume that the surplus of an insurer follows the compound Poisson risk process and the insurer would invest its surplus in a financial market,which consists of one risk-free bond and n risky assets,whose prices follow an n-dimensional jump-diffusion process.The optimal investment strategy under the meanvariance principle for the insurer is studied by the stochastic control approach.The closed and explicit formulas for the optimal investment strategy and the efficient frontier are derived.Unlike optimal str...