Add to ORKGWe consider a stochastic model for the wealth of an insurance company which has the possibility to invest into a risky and a riskless asset under a constant mix strategy. The total claim amount is modeled by a compound Poisson process and the price of the risky asset follows a general exponential Levy process. We investigate the resulting integrated risk process and the corresponding discounted net loss process
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper we consider the problem of an insurance company where the wealth of the insurer is des...
This article pertains to the optimal asset allocation of surplus from an insurance company model. Th...
We consider a stochastic model for the wealth of an insurance company which has the possibility to i...
We consider an insurance risk model for the cashflow of an insurance company, which invests its rese...
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. ...
This paper investigates the optimal portfolio choice problem for a large insurer with negative expon...
In this paper, we study the optimal investment and proportional reinsurance strategy when an insuran...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
We investigate an insurer's optimal investment and liability problem by maximizing the expected term...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper we consider the problem of an insurance company where the wealth of the insurer is des...
This article pertains to the optimal asset allocation of surplus from an insurance company model. Th...
We consider a stochastic model for the wealth of an insurance company which has the possibility to i...
We consider an insurance risk model for the cashflow of an insurance company, which invests its rese...
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. ...
This paper investigates the optimal portfolio choice problem for a large insurer with negative expon...
In this paper, we study the optimal investment and proportional reinsurance strategy when an insuran...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
We investigate an insurer's optimal investment and liability problem by maximizing the expected term...
We introduce a model to discuss an optimal investment problem of an insurance company using a game t...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper we consider the problem of an insurance company where the wealth of the insurer is des...
This article pertains to the optimal asset allocation of surplus from an insurance company model. Th...