Structural properties of generalised semi-Markov processes (GSMP) have been successfully studied in the literature. Examples are the celebrated commuting condition (CC), which is the key condition for unbiasedness of the infinitesimal perturbation analysis (IPA) gradient estimator, or the...

We consider in this paper that the reserve of an insurance company follows the classical model, in which the aggregate claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that the management can invest dynamically part of the...

In this paper, we study optimal reinsurance/new business and investment (no-shorting) strategy for the mean-variance problem in two risk models: a classical risk model and a diffusion model. The problem is firstly reduced to a stochastic linear-quadratic (LQ) control problem with constraints....