13 citations · 13 across the 1 of their papers we have counts for
2 papers
q-fin.PM2024
Portfolio and reinsurance optimization under unknown market price of risk
Claudia Ceci, Katia Colaneri
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we…
q-fin.PM2014★ 13 cited
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insuranc…