| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076920 | Insurance: Mathematics and Economics | 2012 | 8 Pages |
Abstract
⺠We study the mean-variance portfolio selection problem for an insurer with the VaR constraint. ⺠We obtain the closed-form solution for the optimal strategy with the VaR constraint. ⺠Investments in risky asset can be optimally reevaluated by imposing the VaR constraint.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jun Ye, Tiantian Li,