Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus - In: Insurance: Mathematics and Economics 42 (2008) 1, pp. 434-444
We consider a problem of optimal reinsurance and investment for an insurance company whose surplus is governed by a linear diffusion. The company's risk (and simultaneously its potential profit) is reduced through reinsurance, while in addition the company invests its surplus in a financial...