Masoumeh Shahmoradi

Optimal Surplus Management for Insurers under Stochastic Interest Rates and Jump-Driven Liabilities

This paper investigates the optimal surplus management problem of an insurance company operating in a financial market with stochastic interest rates and jump-driven liabilities. The insurer dynamically allocates its surplus between a risky stock and a risk-free zero-coupon bond while facing insurance claims modeled by...