• Corpus ID: 250451194

Optimal reinsurance via BSDEs in a partially observable contagion model with jump clusters

@inproceedings{Brachetta2022OptimalRV,
  title={Optimal reinsurance via BSDEs in a partially observable contagion model with jump clusters},
  author={Matteo Brachetta and Giorgia Callegaro and Claudia Ceci and Carlo Sgarra},
  year={2022}
}

• M. Brachetta, G. Callegaro, +1 author Carlo Sgarra
• Published 12 July 2022
• Mathematics

. We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximize expected exponential utility of terminal wealth and show that an optimal solution exists. By exploiting both the Kushner-Stratonovich and Zakai approaches, we provide the equation governing the dynamics of the (infinite-dimensional) filter and characterize the solution of the stochastic optimization problem in terms of a BSDE, for which we prove existence and uniqueness of solution. After discussing the optimal strategy for a general reinsurance premium, we provide more explicit results for proportional reinsurance under the expected value premium principle.