We consider a model of a financial corporation which has to find an optimal policy balancing its risk and expected profits. The example treated in this paper is related to an insurance company with the risk control method known in the industry as excess-of-loss reinsurance. Under this scheme the...

This paper represents a model for the financial valuation of a firm which has control on the dividend payment stream and its risk, as well as potential profit by choosing different business activities among those available to it. Furthermore the company invests its free reserve in an asset,...

In the context of decision making for retirees of a defined contribution pension scheme in the de-cumulation phase, we formulate and solve a problem of finding the optimal time of annuitization for a retiree having the possibility of choosing her own investment and consumption strategy. We...

We consider a problem of optimal reinsurance and investment for an insurance company whose surplus is governed by a linear diffusion. The company's risk (and simultaneously its potential profit) is reduced through reinsurance, while in addition the company invests its surplus in a financial...