Lunedì 27 aprile alle ore 14:30 sul
Team Pubblico
Seminari Aleatori
la prof. Claudia Ceci dell'Università di Chieti-Pescara
terrà il seminario dal titolo
A BSDE-BASED APPROACH FOR THE OPTIMAL REINSURANCE PROBLEM UNDER PARTIAL INFORMATION
Abstract. We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival intensity
and claim sizes distribution affected by an unobservable environmental stochastic factor. By filtering techniques, we reduce the original problem to an equivalent 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 the unique solution to a BSDE driven by a marked point process. The talk is based on the paper: Brachetta M., Ceci C. (2019). A BSDE-based approach for the optimal reinsurance problem under partial information,
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Fabio Antonelli
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