MARKOV-MODULATED MEAN-VARIANCE PROBLEM FOR AN INSURER  

作　　者：王伟 毕俊娜 

机构地区：[1]School of Mathematical Sciences and LPMC Nankai University

出　　处：《Acta Mathematica Scientia》2011年第3期1051-1061,共11页数学物理学报（B辑英文版）

基　　金：supported by National Basic Research Program of China(973 Program)(2007CB814905);the National Natural Science Foundation of China(10871102);the Research Fund for the Doctorial Program of Higher Education

摘　　要：In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset, whose price parameters are driven by a finite state Markov chain. The risk process of the insurance company is modeled as a diffusion process whose diffusion and drift parameters switch over time according to the same Markov chain. We study the Markov-modulated mean-variance problem for the insurer and derive explicitly the closed form of the efficient strategy and efficient frontier. In the case of no regime switching, we can see that the efficient frontier in our paper coincides with that of [10] when there is no pure jump.In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset, whose price parameters are driven by a finite state Markov chain. The risk process of the insurance company is modeled as a diffusion process whose diffusion and drift parameters switch over time according to the same Markov chain. We study the Markov-modulated mean-variance problem for the insurer and derive explicitly the closed form of the efficient strategy and efficient frontier. In the case of no regime switching, we can see that the efficient frontier in our paper coincides with that of [10] when there is no pure jump.

关 键 词：Markov chain MEAN-VARIANCE efficient strategy efficient frontier Lagrange multiplier 

分 类 号：O211.62[理学—概率论与数理统计]