Listar Departamento de Matemáticas y Estadística por autor "Albrecher, Hansjörg"

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    • Optimal dividend strategies for a catastrophe insurer 

      Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora (Universidad Torcuato Di Tella, 2023)
      In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio ...

    • Optimal dividends under a drawdown constraint and a curious square-root rule 

      Azcue, Pablo; Muler, Nora; Albrecher, Hansjörg (Finance and Stochastics, 2023)
      In this paper we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e. the dividend rate can never decrease below a given ...