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math.OC2023
Optimal reinsurance from an optimal transport perspective
Beatrice Acciaio, Hansjörg Albrecher, Brandon García Flores
We use the randomization idea and proof techniques from optimal transport to study optimal reinsurance problems. We start by providing conditions for a class of problems that allow…
math.OC2022
Optimal dividends revisited: a gradient-based method and evolutionary algorithms
Hansjörg Albrecher, Brandon García Flores
We reconsider the study of optimal dividend strategies in the Cramér-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band…