This paper establishes some enlightening connections between the explicit formulas of the finite-time ruin probability established by Ignatov and Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical properties of these formulas are investigated and...

We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...