Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends

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A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman- Kac formula, Laplace transform and its inversion (2007, background): “Note the relation to asset-liability management models, in whic h regulatory requirements impose prescribed limits of variation for the difference between t he assetsP (t) of a company and its liabilities S(t) (see [6]), and which also translate typically into (several ) linear barriers.”
Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle (2012, background): “For recent papers, see Gerber and Shiu (2003, 2004, 2006), Lin and Pavlova (2006), Yuen et al. (2007, 2008, 2009), Dong et al. (2009) and references therein.”