Badaoui, Mohamed; Fernández, Begoña - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 1-13
In this paper, we study an optimal investment problem of an insurance company with a Cramér–Lundberg risk process and investments portfolio consisting of a risky asset with stochastic volatility and a money market. The asset prices are affected by a correlated economic factor, modeled as...