10 citations · 20 across the 13 of their papers we have counts for
3 papers · 1 filter
A class of Markov processes with resetting and applications to cybersecurity
Giorgia Callegaro, Umut Çetin, Bernardo D'Auria
We introduce a class of piecewise deterministic Markov processes with resetting, motivated by self-exciting models of cyber attacks. Under assumptions reminiscent of ruin theory, w…
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Matteo Brachetta, Giorgia Callegaro, Claudia Ceci +1
We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process.…
Carthaginian Enlargement of Filtrations
Giorgia Callegaro, Monique Jeanblanc, Behnaz Zargari
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time τ. We provide, under an equivalence assumption, slight…