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q-fin.PM2023
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…
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…