4 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…
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…
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…