Browsing Universidad Torcuato Di Tella by Author "Albrecher, Hansjorg"
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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 ...