Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Alessandra Cretarola"'
Publikováno v:
Mathematics, Vol 9, Iss 14, p 1610 (2021)
In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks
Externí odkaz:
https://doaj.org/article/2c30390ac60a4043b980d3792843532e
Publikováno v:
Insurance: Mathematics and Economics. 105:252-278
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose a model wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::51fa5f302e077fe8643c4a6f5de6f0da
https://doi.org/10.1016/j.insmatheco.2022.04.011
https://doi.org/10.1016/j.insmatheco.2022.04.011
Publikováno v:
Applied Stochastic Models in Business and Industry.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33ad17f5fbea40b6e0d9f0ca4981cc9b
https://doi.org/10.1002/asmb.2763
https://doi.org/10.1002/asmb.2763
Publikováno v:
Mathematics, Vol 9, Iss 1610, p 1610 (2021)
Mathematics
Volume 9
Issue 14
Mathematics
Volume 9
Issue 14
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80024b1863b72d73e48d81cb9d5def18
https://www.mdpi.com/2227-7390/9/14/1610
https://www.mdpi.com/2227-7390/9/14/1610
Publikováno v:
Decisions in Economics and Finance. 43:187-228
The goal of this paper is to provide a novel quantitative framework to describe the Bitcoin price behavior, estimate model parameters and study the pricing problem for Bitcoin derivatives. To this end, we propose a continuous time model for Bitcoin p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f43127875ef4a8dfb8109d44f8dff1d
https://doi.org/10.1007/s10203-019-00262-x
https://doi.org/10.1007/s10203-019-00262-x
Publikováno v:
Annals of Operations Research. 299:459-479
Empirical evidence suggests the presence of bubble effects on Bitcoin price dynamics during its lifetime, starting in 2009. Previous research, mostly empirical, focused on statistical tests in order to detect a bubble behavior at some point in time.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eae78cc7375e2c3b489b83aaaf63d792
https://doi.org/10.1007/s10479-019-03321-z
https://doi.org/10.1007/s10479-019-03321-z
Publikováno v:
Digital Finance. 1:23-46
Bitcoin is a digital currency started in early 2009 by its inventor under the pseudonym of Satoshi Nakamoto. In the last few years, Bitcoin has received much attention and has shown a surprising price increase. Bitcoin is currently traded on many web
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c8b38890294c0163aab2e403a3bb1b8
https://doi.org/10.1007/s42521-019-00001-2
https://doi.org/10.1007/s42521-019-00001-2
The motivation of proposing and editing the Special Issue “Blockchain and cryptocurrencies” came from the inspirational invited and contributed talks at the 43rd annual A.M.A.S.E.S. conference held in Perugia in September 2019. All the papers hav
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7985fdd59dfe1fa122d6cbe961e58679
http://hdl.handle.net/11391/1498354
http://hdl.handle.net/11391/1498354
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 of this kind of policies depends on the residual life time of the insu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e18b9add3100ebd7bc9e3dda3a59f90e
http://hdl.handle.net/11391/1474619
http://hdl.handle.net/11391/1474619
In this paper we extend the model in Cretarola, Figa-Talamanca, “Detecting bubbles in Bitcoin price dynamics via market exuberance”, Annals of Operations Research (2019), by allowing for a state-dependent correlation parameter between asset retur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b3bee9c712480f2814330af6fd9bb9b8
http://hdl.handle.net/11391/1454714
http://hdl.handle.net/11391/1454714