Browsing Universidad Torcuato Di Tella by Subject "ratcheting"
Now showing items 1-1 of 1
-
Optimal Ratcheting of Dividends in a Brownian Risk Model
(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 ...