Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Matteo Brachetta, Giorgia Callegaro, Claudia Ceci, Carlo Sgarra
| Year of publication: |
2024
|
|---|---|
| Authors: | Brachetta, Matteo ; Callegaro, Giorgia ; Ceci, Claudia ; Sgarra, Carlo |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 2, p. 453-495
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| Subject: | BSDEs | Cox processes with shot noise | Hawkes processes | Optimal reinsurance | Partial information | Rückversicherung | Reinsurance | Theorie | Theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-023-00523-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015130335