Buon pomeriggio a tutti,

abbiamo il piacere di annunciare il prossimo webinar promosso dal Gruppo UMI PRISMA:

- Lunedi’ 6 dicembre 2021 ore 16-18

- ore 16, Giulia Di Nunno

Titolo: On time changed Lévy noises in modelling, dynamics and control

Abstract: The study of time change lays at the intersection of probability and statistics and have interesting potential in the modelling of different phenomena. These models are appealing, since they seem quite close to classical Lévy structures, often easy to simulate, though they are still statistically very different, as they may loose important properties, such as independent increments and Markovianity. It clearly all depends on the time change applied! When it comes to stochastic calculus, stochastic dynamics, and control, we shall see how the use of the interplay of partial information techniques and enlargement of filtrations can help dealing with such dynamics.

- ore 17, Alessandra Cretarola

Titolo: Optimal reinsurance and investment under common shock dependence between the financial and the actuarial market

Abstract: We study the optimal proportional reinsurance and investment strategy for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose a model where the insurance framework is affected by environmental factors, and aggregate claims and stock prices are subject to common shocks, i.e. drastic events such as earthquakes, extreme weather conditions, or even pandemics, that have an immediate impact on the financial market and simultaneously induce insurance claims. Using the classical stochastic control approach based on the Hamilton-Jacobi- Bellman equation, we provide a verification result for the value function via classical solutions to two backward partial differential equations and characterize the optimal strategy. Finally, we discuss the effect of the common shock dependence via a comparison analysis.

Collegamento Teams: https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf98...

Tutte le informazioni sui webinars sono pubblicate alla pagina web: http://www.umi-prisma.polito.it/webinars.html

Grazie per l’attenzione, Claudia Ceci e Domenico Marinucci