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Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 60 (2015), pp. 47-60
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010484834
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Unit-linked life insurance policies : optimal hedging in partially observable market models
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 76 (2017), pp. 149-163
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011774803
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Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
Colaneri, Katia; Frey, Rüdiger - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 498-507
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012793939
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Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
Cretarola, Alessandra; Figà-Talamanca, Gianna - In: Economics letters 191 (2020), pp. 1-6
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012508016
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Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; … - In: Finance and stochastics 28 (2024) 2, pp. 453-495
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015130335