From the 1 of 3 linked papers with an AI index.
3 papers
Dam Management in the Era of Climate Change
Cristina Di Girolami, M'hamed Gaïgi, Vathana Ly Vath +1
The paper studies how to optimally control dam water levels under climate‑induced patterns of intense rainfall and long dry spells, using a Hawkes self‑exciting process to model th…
The Design of Optimal Re-Insurance Contracts when Losses are Clustered
Guillaume Bernis, Cristina Di Girolami, Simone Scotti
This paper investigates the form of optimal reinsurance contracts in the case of clusters of losses. The underlying insured risk is represented by a marked Hawkes process, where th…
High risk aversion Merton's problem without transversality conditions
Enrico Biffis, Cristina Di Girolami, Salvatore Federico +1
This paper revisits the classical Merton portfolio choice problem over infinite horizon for high risk aversion, addressing technical challenges related to establishing the existenc…