Klüppelberg, Claudia; Kostadinova, Radostina - In: Insurance: Mathematics and Economics 42 (2008) 2, pp. 560-577
We consider an insurance risk model for the cashflow of an insurance company, which invests its reserve into a portfolio consisting of risky and riskless assets. The price of the risky asset is modeled by an exponential Lévy process. We derive the integrated risk process and the corresponding...