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Optimal dividends under a drawdown constraint and a curious square-root rule
(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 strategies in a production-inventory control model
(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 ...
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
(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 ...
On the n−th linear polarization constant of Rn
(Mathematische Nachrichten, 2023)
Abstract. We prove that given any set of n unit vectors {vi}n
i=1 ⊂ Rn, the
inequality
sup
kxkRn=1
|hx, v1i · · · hx, vni| ≥ n−n/2
holds for n ≤ 14. Moreover, the equality is attained if and only if {vi}n
i=1 is
an ...
Density kernel depth for outlier detection in functional data
(Springer NatureInternational Journal of Data Science and Analytics, 2023)
In this paper, we propose a novel approach to address the problem of functional outlier detection. Our method leverages a
low-dimensional and stable representation of functions using Reproducing Kernel Hilbert Spaces ...
On the volumes of simplices determined by a subset of Rd
(Universidad Torcuato Di Tella, 2023)
We prove that for 1 ≤ k < d, if E is a Borel subset of Rd of Hausdorff
dimension strictly larger than k, the set of (k+1)-volumes determined by k+2 points
in E has positive one-dimensional Lebesgue measure. In the case ...
Optimal dividend strategies for a catastrophe insurer
(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 ...
Inverse theorems for discretized sums and Lq norms of convolutions in Rd
(Universidad Torcuato Di Tella, 2023)
We prove inverse theorems for the size of sumsets and the L
q norms of
convolutions in the discretized setting, extending to arbitrary dimension an earlier
result of the author in the line. These results have applications ...
On the Fourier decay of multiplicative convolutions
(Universidad Torcuato Di Tella, 2023)
We prove the following. Let $\mu_{1},\ldots,\mu_{n}$ be Borel probability measures on $[-1,1]$ such that $\mu_{j}$ has finite $s_j$-energy for certain indices $s_{j} \in (0,1]$ with $s_{1} + \ldots + s_{n}>1$. Then, the ...
Level Sets Semimetrics for Probability Measures with Applications in Hypothesis Testing
(Methodology and Computing in Applied ProbabilitySpringer Nature, 2023)
In this paper we introduce a novel family of level sets semimetrics for density functions and
address subtleties entailed in the estimation and computation of such semimetrics. Given data
drawn from f and q, two unknown ...