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