We consider the unilateral credit valuation adjustment (CVA) of a credit default swap (CDS) under a contagion model with regime-switching interacting intensities. The model assumes that the interest rate, the recovery, and the default intensities of the protection seller and the reference entity...

Consider a renewal risk model in which claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure described via the conditional distribution of the inter-arrival time given the...

This paper considers the optimal dividend problem with proportional reinsurance and capital injection for a large insurance portfolio. In particular, the reinsurance premium is assumed to be calculated via the variance principle instead of the expected value principle. Our objective is to...

Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of...