Cerda Hernández, Jose; Sikov, Anna - 2022
-time model where the surplus of an insurance company is modelled as a compound Poisson process. The company can invest its … surplus in a risk free asset and in a risky asset, under the Black-Scholes equation. According to the Utility theory, in any … utility of a risk-averse investor (for instance, an insurance company). Therefore, the goal of this research work is no longer …
