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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 ...


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Horarios de atención
Campus Alcorta
Av. Figueroa Alcorta 7350 (C1428BCW)
Sáenz Valiente 1010 (C1428BIJ)
Ciudad de Buenos Aires, Argentina
P: (54 11) 5169 7000

 

 

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SubjectHJB equation (1)optimal dividends (1)ratcheting (1)viscosity solution (1)... View MoreDate Issued
2020 (1)
Has File(s)Yes (1)


Página de ayuda al investigador
Horarios de atención
Campus Alcorta
Av. Figueroa Alcorta 7350 (C1428BCW)
Sáenz Valiente 1010 (C1428BIJ)
Ciudad de Buenos Aires, Argentina
P: (54 11) 5169 7000