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中文摘要：
本文将均值-方差投资策略选择问题拓展为不允许卖空限制下保险公司的动态资产负债管理问题．首先运用复合Poisson过程刻画保险公司的负债，建立了保险公司的资产负债模型，并利用动态规划原理和识别定理得到了资产负债管理问题的值函数所满足的积-微分方程．然后借助Riccati方程构造了一个下半连续函数，并利用粘性解理论证明了其为积-微分方程的粘性上解．最后以闭式形式给出了保险公司的最优投资策略和有效边界，并用数值例子说明了投资策略、保费以及理赔额之间的关系．
英文摘要：
In this paper, the mean-variance portfolio selection problem for an insurance company is extended to the dynamic asset liability management problem under the no short-selling constraints. First, by using the compound Poisson process to describe the liability of the insurance company, the asset liability management model is established. Then based on the classical dynamic programming method and the verification theorem, the integral-differential equation, which the value function of the asset liability management problem statisfies, is derived. Second, we construct a lower semi-continuous function in term of the Riccati equation and prove that it is the viscosity supersolution of the integral- differential equation by using the general theory of the viscosity. Finally, the expressions of the optimal portfolio and the efficient frontier for the insurance company are obtained in closed forms, and the connections among the investment strategy, the premium and the claim are illustrated through a nu- merical example.
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