We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model and then find the integro-differential equations...

In this paper we consider a modified version of the classical optimal dividend problem taking into account both expected dividends and the time value of ruin. We assume that the risk process is modeled by a general spectrally positive Lévy process before dividends are deducted. Using the...

In this paper, we study the optimal investment and proportional reinsurance strategy when an insurance company wishes to maximize the expected exponential utility of the terminal wealth. It is assumed that the instantaneous rate of investment return follows an Ornstein-Uhlenbeck process. Using...