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