38 citations · 94 across the 19 of their papers we have counts for
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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.MF2018
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…