3 citations · 3 across the 5 of their papers we have counts for
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q-fin.MF2019
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…
q-fin.MF2019
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…
q-fin.MF2019
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…