In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding...

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding...

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 consider a discrete time version of the popular optimal dividend payout problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends until ruin we maximise the expected utility of discounted...

We consider a dynamic mean-risk problem, where the risk constraint is given by the Average Value–at–Risk. As financial market we choose a discrete-time binomial model which allows for explicit solutions. Problems where the risk constraint on the final wealth is replaced by intermediate risk...

We consider the classical Cramér-Lundberg model with dynamic proportional reinsurance and solve the problem of finding the optimal reinsurance strategy which minimizes the expected quadratic distance of the risk reserve to a given benchmark. This result is extended to a mean-variance problem....

We consider a stochastic fluid production model, where m machines which are subject to breakdown and repair, produce a fluid at ratep 0 per machine if it is working. This fluid is fed into an infinite buffer with stochastic output rate. Under the assumption that the machine processes are...

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...

We consider a dynamic mean-risk problem, where the risk constraint is given by the Average Value–at–Risk. As financial market we choose a discrete-time binomial model which allows for explicit solutions. Problems where the risk constraint on the final wealth is replaced by intermediate risk...