Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model

This paper studies an insurer's optimal investment portfolio under the mean-variance criterion. The financial market consists of a riskless bond and risky asset, latter's volatility is random. We are extending Cox–Ingersoll–Ross (CIR) model to case with jumps, where it modeled by jump-diffusion stochastic differential equation (SDE). use Lévy SDE describe risk process we have, in which extend classic Cramér-Lundberg process, additionally introduce into this model. assume that insurer question optimizer. In other words, decision faces simultaneously maximize minimize mean variance his/her terminal wealth selecting portfolio. have uncovered closed-form solutions problem respect efficient strategy frontier solving for expected utility maximization quadratic function through martingale method. Finally, give numerical example analyzes economic behavior frontier.