38 citations · 176 across the 19 of their papers we have counts for
19 papers
Carbon-Sensitive Fund Construction and Hedging for Green Unit-Linked Life Insurance
Katia Colaneri, Alessandra Cretarola, Edoardo Lombardo +1
We study the problem of hedging unit linked life insurance policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. O…
Existence of nonnegative mild solutions of stochastic evolution inclusions via weak topology
Lucia Angelini, Irene Benedetti, Alessandra Cretarola
This paper addresses the existence of nonnegative mild solutions for stochastic evolution inclusions through a weak topology approach. Precisely, the study focuses on stochastic ev…
Self-protection and self-insurance for general risk models via a BSDE approach
Claudia Ceci, Alessandra Cretarola
We investigate an optimal prevention and insurance problem in a general risk setting, where a representative agent is exposed to potential losses. The agent adopts a strategy that…
Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks
Claudia Ceci, Alessandra Cretarola
We investigate the optimal reinsurance problem in a risk model with jump clustering features. This modeling framework is inspired by the concept initially proposed in Dassios and Z…
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…