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...

In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider...