We investigate models with negative risk sums when the company invests its reserve into a
risky asset whose price follows a geometric Brownian motion. Our main result is an exact …

The aim of this paper is to study optimal risk-and value-based management decisions
regarding a non-life insurer's investment strategy by maximizing shareholder value based …

Consider an insurance company exposed to a stochastic economic environment that
contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance …

Abstract Recently, Sun and Wei (2014) studied the finite-time ruin probability under a
discrete-time insurance risk model, in which the one-period insurance and financial risks are …

Consider a general bivariate Lévy-driven risk model. The surplus process Y, starting with
Y0= x> 0, evolves according to dYt= Yt-dRt-dPt for t> 0, where P and R are two independent …

In this paper we consider a Markov-modulated risk model, where the premium rates, claim
frequency and the distribution of the claim sizes vary depending on the state of an external …

In this paper, we study a delayed-claim insurance risk model perturbed by diffusion with
general investment returns, in which each main claim may induce a delayed claim. Assume …

A finite-horizon insurance model is studied where the risk/reserve process can be controlled
by reinsurance and investment in the financial market. Our setting is innovative in the sense …

In this study, we investigate the tail probability of the discounted aggregate claim sizes in a
dependent risk model. In this model, the claim sizes are observed to follow a one-sided …

Consider an insurer who both sells catastrophe insurance policies and makes risky
investments. Suppose that insurance claims arrive according to a Poisson process and the …