We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never decrease. This addresses a concern that has often been raised in connection with the practical relevance of optimal classical dividend payment strategies of barrier and threshold...