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math.OC2025
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…
math.OC2025
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…