Optimal investment for an insurer: The martingale approach

By Zengwu Wang, Jianming Xia, Lihong Zhang. 2007

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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (2010, unknown): “Financial applications include hedging futures (Duffie and Richardson, 1991), insurance (Chiu and Li, 2006; Wang et al., 2007), pension asset allocation (Gerrard et al., 2004; Hojgaard and Vigna, 2007) and optimal execution of trades (Lorenz and Almgren, 2007).”
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Zhang, Korn and Ewald[36](2007) extended the Fisher's equation under the risk-neutral measure.”
On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, background): “These seminal papers have been followed by a number of extensions (in the finance literature, see, for instance, Bielecki et al. (2005) and references therein; in the actuarial literature, see, for instance, Chiu and Li (2006) and Wang et al. (2007)).”