Pergamenchtchikov, Serguei; Omar, Zeitouny - arXiv.org - 2010
We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose price follows a geometric Brownian motion with mean return $a$ and volatility $\sigma0$. If...