Advances in Stochastic Control and Optimal Stopping with Applications in Economics and Finance / Avancées en contrôle stochastique et arrêt optimal avec applications à l'économie et à la finance

Collection Advances in Stochastic Control and Optimal Stopping with Applications in Economics and Finance / Avancées en contrôle stochastique et arrêt optimal avec applications à l'économie et à la finance

Organizer(s) Buckdahn, Rainer ; Ferrari, Giorgio ; Grigorova, Miryana ; Quenez, Marie-Claire ; Riedel, Frank

Date(s) 12/09/2022 - 16/09/2022

linked URL https://conferences.cirm-math.fr/2600.html

00:00:00 / 00:00:00

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Optimal reinsurance via BSDEs in a partially observable contagion model

By Claudia Ceci

We study an optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the loss process exhibits jump clustering features and the insurance company has restricted information about the claims arrival intensity. By solving the associated filtering problem we reduce the original problem to a stochastic control problem under full information. Since the classical Hamilton-Jacobi-Bellman approach does not apply, due to the infinite dimensionality of the filter, we choose an alternative approach based on Backward Stochastic Differential Equations (BSDEs). Precisely, we characterize the value process and the optimal reinsurance strategy in terms of a BSDE driven by a marked point process. The talk is based on a joint work with M. Brachetta, G. Callegaro and C. Sgarra (arXiv:2207.05489, 2022).

Information about the video

Date of recording 12/09/2022
Date of publication 27/09/2022
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers, Graduate Students
Director(s) Jean Petit
Format MP4

Citation data

DOI 10.24350/CIRM.V.19959603
Cite this video Ceci, Claudia (12/09/2022). Optimal reinsurance via BSDEs in a partially observable contagion model. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19959603
URL https://dx.doi.org/10.24350/CIRM.V.19959603

Domain(s)

Probability

Bibliography

BRACHETTA, Matteo, CALLEGARO, Giorgia, CECI, Claudia, et al. Optimal reinsurance via BSDEs in a partially observable contagion model with jump clusters. arXiv preprint arXiv:2207.05489, 2022. - https://arxiv.org/abs/2207.05489

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