5 citations · 6 across the 11 of their papers we have counts for
6 papers · 1 filter
Optimal investment and reinsurance under exponential forward preferences
Katia Colaneri, Alessandra Cretarola, Benedetta Salterini
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponentia…
Some Optimisation Problems in Insurance with a Terminal Distribution Constraint
Katia Colaneri, Julia Eisenberg, Benedetta Salterini
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time follows a normal d…
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…
Portfolio optimization for a large investor controlling market sentiment under partial information
Sühan Altay, Katia Colaneri, Zehra Eksi
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite…
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…
Optimal Liquidation under Partial Information with Price Impact
Katia Colaneri, Zehra Eksi, Rüdiger Frey +1
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finit…