The goal of this paper is to investigate (locally) risk-minimizing hedging strategies under the benchmark approach in a financial semimartingale market model where there are restrictions on the available information. More precisely, we characterize the optimal strategy as the integrand appearing...

The objective of our study is to predict the financial losses that may result from natural disasters, along with their level of volatility, over a period of 1 to 15 years. Volatility can lead to significant fluctuations in Profit and Loss (P&L) for companies that are affected by unexpected...

This work aims to demonstrate how a trifactorial stochastic model, which we call CIR3, can be turned into a forecasting tool to predict changes in the industrial production of electric and gas utilities. The model accounts for several stylized facts such as the mean reversion of both the process...

This work aims to extend previous research on how a trifactorial stochastic model, which we call CIR3, can be turned into a forecasting tool for energy time series. In particular, in this work, we intend to predict changes in the industrial production of electric and gas utilities.The model...

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 company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a...

In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in units of the num\'{e}raire portfolio. According to the so-called benchmark approach, we investigate the (benchmarked)...

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 observe at least the asset prices. We characterize the optimal strategy in terms of suitable decompositions of a...