We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to …

insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general … compound Hawkes process (GCHP), and for a capital R(t) (risk process) of an insurance company with the amount of claims … results in finance and insurance for those models. …

scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution … model ambiguity. First of all, we study the theoretical properties of the distortion principle for insurance pricing. We …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …