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Abstract
This article is devoted to the study of a mean–variance problem for an insurer with deterministic reinsurance and investment strategy. The surplus process of the insurer and the financial risky asset process are described by general jump diffusion processes with random parameters. We use Malliavin calculus to obtain sufficient and necessary conditions for optimal strategy to satisfy. A particular case is discussed in which explicit expressions for optimal strategy can be derived.
Acknowledgments
The authors are very grateful to the Editor and an anonymous referee for their helpful comments and suggestions, which led to an improvement of the manuscript.
Additional information
Funding
This work was supported by the National Natural Science Foundation of China (No. 11701436) and the Fundamental Research Funds for the Central Universities (WUT: 2018IB019 and 2018IVB014).