Optimal reinsurance via BSDEs in a partially observable model with jump clusters

DOI10.1007/s00780-023-00523-zarXiv2207.05489MaRDI QIDQ6130335

Matteo Brachetta, Claudia Ceci, Carlo Sgarra, Giorgia Callegaro

Publication date: 2 April 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.05489

zbMATH Keywords

optimal reinsurancepartial informationHawkes processesBSDEsCox processes with shot noise

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

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