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近年来,最优保险投资问题吸引了越来越多的注意.一般这个问题是在连续时间框架下来研究的.本文针对这一问题建立离散时间的最优控制模型.应用动态规划原理求解模型对应的近似问题,得到了最优投资策略和投资有效边界的解析表达形式.本文得到的最优投资策略和投资有效边界均依赖于承保参数.通过数值例子分析了承保参数对最优投资策略和有效边界的影响.“,”The problem of optimal investment for an insurance company attracts more attention in recent years.In general, this problem is studied under continuous time frame- work.This paper models this problem as a discrete time optimal control.Dynamic programming is used to solve an auxiliary problem.The expressions of the optimal investment policy and the mean-variance efficient frontier are derived explicitly.The optimal investment policy and the efficient frontier derived in this paper depend the insurance parameters.We analyze the affections of the insurance parameters on optimal investment policy and efficient frontier by numerical examples.Furthermore, we estimate the asymptotic ruin probability of every period when the insurance company applies the optimal investment policy.