38 citations · 94 across the 19 of their papers we have counts for
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math.OC2025
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…
math.OC2024
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…
math.OC2019
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…