4 papers
The Design of Optimal Re-Insurance Contracts when Losses are Clustered
Guillaume Bernis, Cristina Di Girolami, Simone Scotti
This paper investigates the form of optimal reinsurance contracts in the case of clusters of losses. The underlying insured risk is represented by a marked Hawkes process, where th…
High risk aversion Merton's problem without transversality conditions
Enrico Biffis, Cristina Di Girolami, Salvatore Federico +1
This paper revisits the classical Merton portfolio choice problem over infinite horizon for high risk aversion, addressing technical challenges related to establishing the existenc…
Dam Management in the Era of Climate Change
Cristina Di Girolami, M'hamed Gaïgi, Vathana Ly Vath +1
Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is cruci…
Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes
Cristina Di Girolami, Francesco Russo
This paper concerns a class of Banach valued processes which have finite quadratic variation. The notion introduced here generalizes the classical one, of Métivier and Pellaumail w…