4 papers
Filtering in a hazard rate change-point model with financial and life-insurance applications
Matteo Buttarazzi, Claudia Ceci
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial an…
Self-protection and self-insurance for general risk models via a BSDE approach
Claudia Ceci, Alessandra Cretarola
We investigate an optimal prevention and insurance problem in a general risk setting, where a representative agent is exposed to potential losses. The agent adopts a strategy that…
Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks
Claudia Ceci, Alessandra Cretarola
We investigate the optimal reinsurance problem in a risk model with jump clustering features. This modeling framework is inspired by the concept initially proposed in Dassios and Z…
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…