Zhang, Xin-Li; Zhang, Ke-Cun; Yu, Xing-Jiang - In: Insurance: Mathematics and Economics 44 (2009) 3, pp. 473-478
We consider a problem of optimal reinsurance and investment with multiple risky assets for an insurance company whose surplus is governed by a linear diffusion. The insurance company's risk can be reduced through reinsurance, while in addition the company invests its surplus in a financial...