5 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…
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information
Katia Colaneri, Federico D'Amario, Daniele Mancinelli
Given the increasing importance of environmental, social and governance (ESG) factors, particularly carbon emissions, we investigate optimal proportional portfolio insurance (PPI)…
Portfolio and reinsurance optimization under unknown market price of risk
Claudia Ceci, Katia Colaneri
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we…
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
Katia Colaneri, Daniele Mancinelli, Immacolata Oliva
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. P…
Random carbon tax policy and investment into emission abatement technologies
Katia Colaneri, Rüdiger Frey, Verena Köck
We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of carbon emissions…