We extend the classical compound Poisson risk model to consider the distribution of the maximum surplus before ruin where the claim sizes depend on inter-claim times via the Farlie-Gumbel-Morgenstern copula. We derive an integro-differential equation with certain boundary conditions for this...

We consider a risk-averse entrepreneur who invests in a project with idiosyncratic risk and takes debt financing for diversification benefits. In contrast to the literature, we assume the entrepreneur is unable to get a loan from a bank directly because of the low creditability of the...

Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked...

Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by aging populations. In this work, we study an optimal investment problem for a defined contribution pension scheme that decides to hedge longevity risk using a mortality-linked...