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...

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...