This paper considers risks of the investment portfolio, which consist of distributed mortgages and sold European call options. It is assumed that the stream of the credit payments could fall by a jump. The time of the jump is modeled by the exponential distribution. We suggest that the returns...

It is known that the classical ruin function under exponential claim-size distribution depends on two parameters, which are referred to as the mean claim size and the relative security loading. These parameters are assumed to be unknown and random, thus, a loss function that measures the loss...

In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a contract reduces the insurer's exposure to the...