Listar Artículos presentados, aceptados y publicados por autor "Muler, Nora"
Mostrando ítems 1-6 de 6
-
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 dividend strategies for a catastrophe insurer
Azcue, Pablo; Muler, Nora; Albrecher, Hansjörg (Frontiers of Mathematical Finance (e- ISSN:2769-6715), 2024-06)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 contains ... -
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 ... -
Optimal Ratcheting of Dividends in a Brownian Risk Model
Muler, Nora; Azcue, Pablo; Albrecher, Hansjorg (2020)We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting ... -
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Azcue, Pablo; Muler, Nora; Liang, Xiaoqing; Young, Virginia R. (SIAM Journal on Financial Mathematics, 2023)In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram´er-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium ... -
Optimal strategies in a production-inventory control model
Azcue, Pablo; Muler, Nora; Frostig, Esther (2020)We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at ...