19 citations · 27 across the 3 of their papers we have counts for
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q-fin.MF2018
Extended Reduced-Form Framework for Non-Life Insurance
Francesca Biagini, Yinglin Zhang
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life i…
q-fin.MF2017★ 8 cited
Reduced-form framework under model uncertainty
Francesca Biagini, Yinglin Zhang
In this paper we introduce a sublinear conditional expectation with respect to a family of possibly nondominated probability measures on a progressively enlarged filtration. In thi…
q-fin.MF2016★ 19 cited
Polynomial Diffusion Models for Life Insurance Liabilities
Francesca Biagini, Yinglin Zhang
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a…