Edoli, Enrico; Runggaldier, Wolfgang J. - In: Insurance: Mathematics and Economics 47 (2010) 3, pp. 315-326
We study an insurance model where the risk can be controlled by reinsurance and investment in the financial market. We consider a finite planning horizon where the timing of the events, namely the arrivals of a claim and the change of the price of the underlying asset(s), corresponds to a...