38 citations · 94 across the 19 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
Optimal Reduction of Public Debt under Partial Observation of the Economic Growth
Giorgia Callegaro, Claudia Ceci, Giorgio Ferrari
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indica…