38 citations · 94 across the 19 of their papers we have counts for
5 papers · 1 filter
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.…
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…
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…
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…