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Embrechts, C. Kl\u00fcppelberg} and \\textit{T. Mikosch}, Modelling Extremal Events, Application of Mathematics, Springer, Berlin (1997; Zbl 0873.62116)]. The following problem is considered: allocate equity to the different portfolios (or subsidiaries), and select the portfolios, such that the annual ROEs are satisfactory, such that the probability of ruin [of a reinsurance company -- B. Ch.] and the probability of non-solvency of each portfolio is acceptable and such that the expected final overall profitability is optimal. (cf. the Introduction to the paper). It leads to an optimization problem with constraints for an unknown stochastic process (Nonlinear Model), which is an extension of the stochastic model first considered in the author's report [Allocation de fonds propres et pillotage de portefeuille. Rapport AXA-R\u00e9 et UAP Direction Scientifique, Paris, 1997].    A method of finding an approximate solution of the problem (Quadratic Model), is developed. 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