Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 504-514
In this paper, we study the optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk model. The insurer is allowed to purchase reinsurance and invest in one risk-free asset and one risky asset whose price process satisfies the Heston model. The...