approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and …In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is … inflation risk are considered. We suppose that the instantaneous nominal interest rate follows an Ornstein–Uhlenbeck process …

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary … probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro …

fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a … using Monte Carlo simulations and compare it with Theorem 2 in Avram, Palmowski and Pistorius [Insurance: Mathematics and …

dividends until simultaneous ruin of both branches of an insurance company by showing that the optimal value function satisfies …