17 citations · 86 across the 22 of their papers we have counts for
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q-fin.PM2024
Portfolio and reinsurance optimization under unknown market price of risk
Claudia Ceci, Katia Colaneri
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we…
q-fin.PM2024
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
Katia Colaneri, Daniele Mancinelli, Immacolata Oliva
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. P…
math.OC2024
Random carbon tax policy and investment into emission abatement technologies
Katia Colaneri, Rüdiger Frey, Verena Köck
We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of carbon emissions…