38 citations · 94 across the 19 of their papers we have counts for
21 papers
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…
Filtering in a hazard rate change-point model with financial and life-insurance applications
Matteo Buttarazzi, Claudia Ceci
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial an…
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…
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…
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Matteo Brachetta, Giorgia Callegaro, Claudia Ceci +1
We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process.…
Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expe…
Optimal reinsurance problem under fixed cost and exponential preferences
Matteo Brachetta, Claudia Ceci
We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose b…
A BSDE-based approach for the optimal reinsurance problem under partial information
Matteo Brachetta, Claudia Ceci
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on th…
Value adjustments and dynamic hedging of reinsurance counterparty risk
Claudia Ceci, Katia Colaneri, Rdiger Frey +1
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the cedi…
Optimal excess-of-loss reinsurance for stochastic factor risk models
Matteo Brachetta, Claudia Ceci
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochas…
Optimal Reduction of Public Debt under Partial Observation of the Economic Growth
Giorgia Callegaro, Claudia Ceci, Giorgio Ferrari
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indica…
Optimal proportional reinsurance and investment for stochastic factor models
Matteo Brachetta, Claudia Ceci
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its termin…
Indifference pricing of pure endowments via BSDEs under partial information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff…
Risk-Minimizing Hedging of Counterparty Risk
Lijun Bo, Agostino Capponi, Claudia Ceci
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up a…
Unit-linked life insurance policies: optimal hedging in partially observable market models
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on…
The Föllmer-Schweizer decomposition under incomplete information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we study the Föllmer-Schweizer decomposition of a square integrable random variable with respect to a given semimartingale under restricted information. Thank…
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…
Local risk-minimization under restricted information to asset prices
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can…
A Benchmark Approach to Risk-Minimization under Partial Information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in u…
BSDEs under partial information and financial applications
Claudia Ceci, Alessandra Cretarola, Francesco Russo
In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square integrable martingale under partial information. We discuss some spec…
The Zakai equation of nonlinear filtering for jump-diffusion observation: existence and uniqueness
Claudia Ceci, Katia Colaneri
This paper is concerned with the nonlinear filtering problem for a general Markovian partially observed system (X,Y), whose dynamics is modeled by correlated jump-diffusions having…