Katia Colaneri
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View article: Design and hedging of unit linked life insurance with environmental factors
Design and hedging of unit linked life insurance with environmental factors Open
We study the problem of designing and hedging unit-linked life policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. Offering these products poses two key challenges: constr…
View article: On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework Open
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies when there are jumps in the dynamics of the underlying assets. PPI strategies enable investors to mitigate downsi…
View article: A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data
A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data Open
Summary In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the number of infectious individuals are random and unobservable. This model accounts for random fluctuations in infectiousness and fo…
View article: Portfolio and reinsurance optimization under unknown market price of risk
Portfolio and reinsurance optimization under unknown market price of risk Open
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 convert the original optimization problem involving differ…
View article: On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework Open
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. PPI strategies enable investors to mitigate downside risk wh…
View article: Random carbon tax policy and investment into emission abatement technologies
Random carbon tax policy and investment into emission abatement technologies Open
We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of carbon emissions in an environment where carbon tax policy is random and whe…
View article: A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data
A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data Open
In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the true number of infectious individuals are random and unobservable. An advantage of this model is that it permits us to account for random …
View article: Some optimisation problems in insurance with a terminal distribution constraint
Some optimisation problems in insurance with a terminal distribution constraint Open
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time T follows a normal distribution with a given mean and a given variance. In both c…
View article: Optimal investment and reinsurance under exponential forward preferences
Optimal investment and reinsurance under exponential forward preferences Open
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…
View article: Some Optimisation Problems in Insurance with a Terminal Distribution Constraint
Some Optimisation Problems in Insurance with a Terminal Distribution Constraint Open
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
View article: A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading
A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading Open
In this paper, we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multidimensional Markovian setting, we show…
View article: Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences
Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences Open
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…
View article: Optimal investment and proportional reinsurance in a regime-switching\n market model under forward preferences
Optimal investment and proportional reinsurance in a regime-switching\n market model under forward preferences Open
In this paper we study the optimal investment and reinsurance problem of an\ninsurance company whose investment preferences are described via a forward\ndynamic exponential utility in a regime-switching market model. Financial and\nactuari…
View article: Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets
Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets Open
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…
View article: Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences
Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences Open
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…
View article: Indifference pricing of pure endowments via BSDEs under partial information
Indifference pricing of pure endowments via BSDEs under partial information Open
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 …
View article: Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics Open
The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provide…
View article: Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk Open
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the ceding insurer. RCCR is an important risk category for insuranc…
View article: A class of recursive optimal stopping problems with applications to stock trading
A class of recursive optimal stopping problems with applications to stock trading Open
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show …
View article: Classical solutions of the Backward PIDE for a Marked Point Processes with characteristics modulated by a jump diffusion
Classical solutions of the Backward PIDE for a Marked Point Processes with characteristics modulated by a jump diffusion Open
The objective of this paper is to give conditions ensuring that the backward partial integro differential equation (PIDE) arising from a multidimensional jump-diffusion with a pure jump component has a classical solution, that is the solut…