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...

The paper represents a model for financial valuation of a firm which has control of the dividend payment stream and its risk as well as potential profit by choosing different business activities among those available to it. This model extends the classical Miller-Modigliani theory of firm...

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...

This paper deals with the problem of ruin probability minimization under various investment control and reinsurance schemes. We first look at the minimization of ruin probabilities in the models in which the surplus process is a continuous diffusion process in which we employ stochastic control...

We study stochastic differential games between two insurance companies who employ reinsurance to reduce risk exposure. We consider competition between two companies and construct a single payoff function of two companies' surplus processes. One company chooses a dynamic reinsurance strategy in...