We consider a multi-stock market model. The processes of stock prices are governed by stochastic differential equations with stock return rates and volatilities driven by a finite-state Markov process. Each volatility is also disturbed by a Brownian motion; more exactly, it follows a...

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...

We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the...

In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk and receive cash injections at discrete times to avoid ruin. Proportional reinsurance and excess-of-loss reinsurance...

In this paper, we study an optimal stochastic control problem for an insurance company whose surplus process is modeled by a Brownian motion with drift (the diffusion approximation model). The company can purchase reinsurance to lower its risk and receive cash injections at discrete times to...

We model reinsurance as a stochastic cooperation game in a continuous-time framework. Employing stochastic control theory and dynamic programming techniques, we study Pareto-optimal solutions to the game and derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation. After analyzing the...

In this paper, we assume that the surplus process of an insurance entity is represented by a pure diffusion. The company can invest its surplus into a Black-Scholes risky asset and a risk free asset. We impose investment restrictions that only a limited amount is allowed in the risky asset and...

We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a Black-Scholes risky asset. The optimization objective is to...