Optimal investment and risk control policies for an insurer under dependent Levy process

An insurance risk model for the cash ow of an insurance company invests into a portfolio consisting of risky and riskless assets. We consider optimal investment and risk control problems for an insurer under mean-variance criterion. The insurer s risk process is modeled by a L evy process as a general pure jump and it can regulate the risk by controlling the number of insurance policies. Moreover, insurers can invest in nancial market consists of one risk-free asset and one risky asset whose price is described by another Levy process. We allow the correlation among the risky asset price and risk control process. Finally, the explicit expressions for the efficient strategy and efficient frontier drived by martingale approach and then sensitivity analysis are presented to illustrate the effect of parameters on the optimal strategy.