Claudia Ceci | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization	INSURANCE MATHEMATICS & ECONOMICS	2015
Local risk-minimization under restricted information on asset prices	ELECTRONIC JOURNAL OF PROBABILITY	2015

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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