Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 664-670
two-dimensional compound Poisson risk process or a common shock model. To protect from large losses and to reduce the ruin … martingale central limit theorem, we first derive a two-dimensional diffusion approximation to the two-dimensional compound … Poisson reserve risk process. We then formulate the total reserve of the insurer by a controlled diffusion process and reduce …