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- Title
Optimal reinsurance via BSDEs in a partially observable model with jump clusters.
- Authors
Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; Sgarra, Carlo
- Abstract
We investigate an optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximise expected exponential utility of terminal wealth and show that an optimal strategy exists. By exploiting both the Kushner–Stratonovich and Zakai approaches, we provide the equation governing the dynamics of the (infinite-dimensional) filter and characterise the solution of the stochastic optimisation problem in terms of a BSDE, for which we prove existence and uniqueness of a solution. After discussing the optimal strategy for a general reinsurance premium, we provide more explicit results in some relevant cases.
- Subjects
JUMP processes; REINSURANCE; EXPECTED utility; INSURANCE companies; BUSINESS insurance
- Publication
Finance & Stochastics, 2024, Vol 28, Issue 2, p453
- ISSN
0949-2984
- Publication type
Article
- DOI
10.1007/s00780-023-00523-z