Optimal reinsurance via BSDEs in a partially observable model with jump clusters
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Publication:6130335
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
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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