Asset and Liability Management for an Insurer with Jump-Diffusion Surplus Process under Mean-Variance Criterion

This paper considers a Markowitz´s mean-variance asset-liability management problem for an insurer in an incomplete market with multiple risky assets. The liability and claims output process are modeled as a geometric Brownian motion and a compound Poisson process respectively, which results in a jump-diffusion surplus process. By using embedding techniques and stochastic control methods, we obtain the optimal strategy and efficient frontier in closed-form. Some results in the existing literature are got as special cases of our results.