38 citations · 94 across the 19 of their papers we have counts for
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q-fin.RM2019
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…
q-fin.RM2018
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…
q-fin.RM2017
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…