This paper studies an optimal investment and consumption problem for an individual whose employment state is driven by an inhomogeneous Markov chain. We consider two types of individuals distinguished by whether they take the risk of unemployment into consideration when making decisions to...

In this paper, we study the optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk model. The insurer is allowed to purchase reinsurance and invest in one risk-free asset and one risky asset whose price process satisfies the Heston model. The...