Uniform and nonuniform Berry-Esseen bounds are given for strongly mixing and uniformly mixing stationary sequences of random vectors. The proofs are based on the classical Bernstein procedure.

We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the...

This paper deals with the problem of ruin probability minimization under various investment control and reinsurance schemes. We first look at the minimization of ruin probabilities in the models in which the surplus process is a continuous diffusion process in which we employ stochastic control...

This paper is concerned with multivariate phase-type distributions introduced by Assaf et al. (1984). We show that the sum of two independent bivariate vectors each with a bivariate phase-type distribution is again bivariate phase-type and that this is no longer true for higher dimensions....