In this paper we are interested in optimizing proportional reinsurance and investment policies in a multidimensional Lévy-driven insurance model. The criterion is that of maximizing exponential utility. Solving the classical Hamilton-Jacobi-Bellman equation yields that the optimal retention...

We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model...

We derive a new crossing criterion of hazard rates to identify a stochastic order relation between two random variables. We apply this crossing criterion in the context of life tables to derive stochastic ordering results among three families of fractional age assumptions: the family of linear...

In the statistical and actuarial literature several generalizations of quantiles have been considered, by means of the minimization of a suitable asymmetric loss function. All these generalized quantiles share the important property of elicitability, which has received a lot of attention...