Claudia Ceci | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks	QUANTITATIVE FINANCE	2025
Modelling the industrial production of electric and gas utilities through a stochastic the CIR3 model	MATHEMATICS AND FINANCIAL ECONOMICS	2024
Addressing the financial impact of natural disasters in the era of climate change	THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE	2024
Portfolio and reinsurance optimization under unknown market price of risk	QUANTITATIVE FINANCE	2024
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	FINANCE AND STOCHASTICS	2023
A Stochastic Control Approach to Public Debt Management	MATHEMATICS AND FINANCIAL ECONOMICS	2022
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	INSURANCE MATHEMATICS & ECONOMICS	2022
A stochastic control approach to public debt management	MATHEMATICS AND FINANCIAL ECONOMICS	2022
A stochastic control approach to public debt management	MATHEMATICS AND FINANCIAL ECONOMICS	2022
Optimal Reinsurance Problem under Fixed Cost and Exponential Preferences	MATHEMATICS	2021
Locally Risk-Minimizing Hedging of Counterparty Risk for Portfolio of Credit Derivatives	APPLIED MATHEMATICS AND OPTIMIZATION	2020
Indifference pricing of pure endowments via BSDEs under partial information	SCANDINAVIAN ACTUARIAL JOURNAL	2020
Value adjustments and dynamic hedging of reinsurance counterparty risk	SIAM JOURNAL ON FINANCIAL MATHEMATICS	2020
Optimal reduction of public debt under partial observation of the economic growth	FINANCE AND STOCHASTICS	2020
A BSDE-based approach for the optimal reinsurance problem under partial information	INSURANCE MATHEMATICS & ECONOMICS	2020
Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models		2019
Optimal proportional reinsurance and investment for stochastic factor models		2019
Recent advances in nonlinear filtering with a financial application to derivatives hedging under incomplete information	BAYESIAN INFERENCE	2017
The Follmer-Schweizer decomposition under incomplete information	STOCHASTICS	2017
Unit-linked life insurance policies: Optimal hedging in partially observable market models	INSURANCE MATHEMATICS & ECONOMICS	2017

ERC

SH1_4

Interessi di ricerca

Stochastic models for Economics, Finance and Insurance. Optimal stochastic control and fitering with applications in mathematical finance and insurance.

Hedging and pricing of financial and insurance derivatives in incomplete markets. Prevention measures: self-protection, self-insurance and reinsurance. BSDEs with jumps. Counterparty Credit Risk.

Keywords

Stochastic control

filtering

asset pricing

Financial Markets

credit risk

Self-protection