38 citations · 176 across the 19 of their papers we have counts for
5 papers · 1 filter
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 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…
Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expe…
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insuranc…
A Benchmark Approach to Risk-Minimization under Partial Information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in u…