Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds-Reference-Cited by-同舟云学术

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Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds

Published:2021-11 Issue: Volume:101 Page:498-507
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Colaneri Katia^ORCID,Frey Rüdiger^ORCID

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference23 articles.

1. Impulse Control and Quasi Variational Inequalities;Bensoussan,1982

2. Credit Risk: Modeling, Valuation, and Hedging;Bielecki,2002

3. Point Processes and Queues: Martingale Dynamics;Brémaud,1981

4. Algorithmic and High-Frequency Trading;Cartea,2015

5. Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization;Ceci;Insurance. Mathematics & Economics,2015

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1. Regular and exploratory resource extraction models considering sustainability;Results in Applied Mathematics;2024-08

2. Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance;Computation;2022-11-10

3. Optimal reinsurance and investment under common shock dependence between financial and actuarial markets;Insurance: Mathematics and Economics;2022-07

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