Optimal investment strategies of an individual worker during the accumulation phase in the
defined contribution pension scheme have been well studied in the literature. Most of them …

We study the problem of optimal dividend payout from a surplus process governed by
Brownian motion with drift under the additional constraint of ratcheting, ie, the dividend rate …

We consider the diffusive limit of a typical pure-jump Markovian control problem as the
intensity of the driving Poisson process tends to infinity. We show that the convergence …

In this paper, we consider an optimal reinsurance problem to minimize the probability of
drawdown for the scaled Cramér–Lundberg risk model when the reinsurance premium is …

In this article we consider the surplus process of an insurance company within the
CramerLundberg framework. We study the optimal reinsurance strategy and dividend …

We analyze the discounted probability of exponential Parisian ruin for the so-called scaled
classical Cramér–Lundberg risk model. As in Cohen and Young (2020), we use the …

We revisit the classical problem of optimal payment of dividends and determine the degree
to which the diffusion approximation serves as a valid approximation of the classical risk …

The classical Cramér–Lundberg risk process is commonly used to model the surplus of an
insurer; it characterizes the claim arrival process and the claim size random variable Y …

In this study, a non-linear version of a Cramér-Lundberg risk model is examined. The
objective of this work is to evaluate the ruin probability of a non-linear risk model. The …

We consider the problem of to which extent a diffusion process serves as a valid
approximation of the classical Cramér-Lundberg (CL) risk process for a Stackelberg …