Badaoui, Mohamed; Fernández, Begoña; Swishchuk, Anatoliy - In: Risks 6 (2018) 2, pp. 1-23
In this paper we consider the problem of an insurance company where the wealth of the insurer is described by a Cramér-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic factor and the remaining surplus in a...