6 papers
A Stochastic Control Approach to Public Debt Management
Matteo Brachetta, Claudia Ceci
We discuss a class of debt management problems in a stochastic environment model. We propose a model for the debt-to-GDP (Gross Domestic Product) ratio where the government interve…
Optimal reinsurance problem under fixed cost and exponential preferences
Matteo Brachetta, Claudia Ceci
We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose b…
A BSDE-based approach for the optimal reinsurance problem under partial information
Matteo Brachetta, Claudia Ceci
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on th…
Optimal excess-of-loss reinsurance for stochastic factor risk models
Matteo Brachetta, Claudia Ceci
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochas…
Optimal Reinsurance and Investment in a Diffusion Model
Matteo Brachetta, Hanspeter Schmidli
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in…
Optimal proportional reinsurance and investment for stochastic factor models
Matteo Brachetta, Claudia Ceci
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its termin…