Delong, Łukasz; Gerrard, Russell - In: Mathematical Methods of Operations Research 66 (2007) 2, pp. 339-367
We consider a collective insurance risk model with a compound Cox claim process, in which the evolution of a claim intensity is described by a stochastic differential equation driven by a Brownian motion. The insurer operates in a financial market consisting of a risk-free asset with a constant...
