1 citations · 1 across the 4 of their papers we have counts for
4 papers
Indifference pricing of pure endowments in a regime-switching market model
Alessandra Cretarola, Benedetta Salterini
In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial mark…
Optimal investment and reinsurance under exponential forward preferences
Katia Colaneri, Alessandra Cretarola, Benedetta Salterini
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponentia…
Some Optimisation Problems in Insurance with a Terminal Distribution Constraint
Katia Colaneri, Julia Eisenberg, Benedetta Salterini
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time follows a normal d…
Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences
Katia Colaneri, Alessandra Cretarola, Benedetta Salterini
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility i…