  We consider in this paper a general two-sided jump-diffusion risk model that
allows for risky investments as well as for correlation between the two
Brownian motions driving insurance risk and investment return. We first
introduce the model and then find the integro-differential equations satisfied
by the Gerber-Shiu functions as well as the expected discounted penalty
functions at ruin caused by a claim or by oscillation; We also study the
dividend problem for the threshold and barrier strategies, the moments and
moment-generating function of the total discounted dividends until ruin are
discussed. Some examples are given for special cases.
