Markussen, Charlotte; Taksar, Michael I. - In: Finance and Stochastics 7 (2003) 1, pp. 97-121
We consider a large insurance company whose surplus (reserve) is modeled by a Brownian motion. The company invests its surplus in stock market assets which may or may not contain an element of risk. To minimize the insurance risk there is a possibility to reinsure a part or the whole insurance...