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math.OC2025
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…
math.OC2024
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…