1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2022★ 1 cited
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…
q-fin.PM2021
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…