17 citations · 86 across the 22 of their papers we have counts for
3 papers · 1 filter
A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data
Katia Colaneri, Camilla Damian, Rüdiger Frey
In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the true number of infectious individuals are random and unobservable. An advantage…
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…