We address a portfolio selection problem that combines active (outperformance) and
passive (tracking) objectives using techniques from convex analysis. We assume a general …

We investigate an optimal reinsurance problem when the loss process exhibits jump
clustering features and the insurance company has restricted information about the loss …

We consider partial and complete information models to investigate how partial information
has a unique quality over complete information for insurers. We find that optimal reinsurance …

In this paper we investigate the local risk-minimization approach for a combined financial-
insurance model where there are restrictions on the information available to the insurance …

In this paper we investigate the local risk-minimization approach for a semimartingale
financial market where there are restrictions on the available information to agents who can …

In this paper we study exponential utility indifference pricing of pure endowment policies in a
stochastic-factor model for an insurance company, which can also invest in a financial …

We investigate the optimal reinsurance problem when the loss process exhibits jump
clustering features and the insurance company has restricted information about the loss …

We solve the problems of mean–variance hedging (MVH) and mean–variance portfolio
selection (MVPS) under restricted information. We work in a setting where the underlying …

The algorithm for calculation of the information risk is suggested. The algorithm takes into
account the flows of all the components of the transportation system, the quality of their …

In this paper we study the Föllmer–Schweizer decomposition of a square integrable random
variable with respect to a given semimartingale S under restricted information. Thanks to the …