Purpose – The purpose of this article is to consider the classical risk model that is perturbed by a Brownian motion process. The article derives explicit formulas for the joint and marginal probability density functions of the surplus prior to ruin and the deficit at ruin....

Purpose – The paper aims to develop a realistic, yet flexible model of insurer net worth. Design/methodology/approach – Inspired by and as an improvement to Powers, the paper develops a multi-dimensional diffusion model to describe the operations of an insurance company. The paper then...