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In this work we consider a model of an insurance company where the insurer has to face a
claims process which follows a Compound Poisson process with finite exponential moments.
The insurer is allowed to invest in a bank account and in a risky asset described by
Geometric Brownian motion with stochastic volatility that depends on an external factor
modelled as a diffusion process. By using exponential martingale techniques we obtain
upper and lower...
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