Claudia Ceci

Pubblicazioni

Titolo Pubblicato in Anno
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
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization INSURANCE MATHEMATICS & ECONOMICS 2015

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