Zobrazeno 1 - 10
of 93
pro vyhledávání: '"Cretarola, Alessandra"'
Autor:
Ceci, Claudia, Cretarola, Alessandra
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 Zhao (2011), combining Hawkes and Cox processes with shot noise intensi
Externí odkaz:
http://arxiv.org/abs/2404.11482
In this paper we study exponential utility indifference pricing of pure endowment policies in a stochastic-factor model for an insurance company, which can also invest in a financial market. Specifically, we propose a modeling framework where the haz
Externí odkaz:
http://arxiv.org/abs/2301.13575
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible dependence
Externí odkaz:
http://arxiv.org/abs/2210.10425
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:
http://arxiv.org/abs/2106.13888
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:
http://arxiv.org/abs/2105.07524
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:
http://arxiv.org/abs/1804.00223
Publikováno v:
In Insurance Mathematics and Economics July 2022 105:252-278
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author analyses tran
Externí odkaz:
http://arxiv.org/abs/1709.08621
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 the market. In particular, we consider an endowment insurance contrac
Externí odkaz:
http://arxiv.org/abs/1608.07226