The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are … computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and … extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions …

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by … assuming that the insurance premium is random. Their dependence structure is modeled using Sarmanov’s bivariate exponential … distribution and the Farlie–Gumbel–Morgenstern (FGM) copula-based bivariate exponential distribution. The reinsurance premium paid …

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total … a Brownian motion with drift, and the reinsurance price is modelled by a continuous-time Markov chain with two states …. The presence of regime-switching substantially complicates the optimal reinsurance problem, as the surplus …