1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2022
Space-grid approximations of hybrid stochastic differential equations and first passage properties
Hansjoerg Albrecher, Oscar Peralta
Hybrid stochastic differential equations are a useful tool to model continuously varying stochastic systems which are modulated by a random environment that may depend on the syste…
math.OC2022★ 1 cited
Optimal dividends under a drawdown constraint and a curious square-root rule
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
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 divid…
stat.ME2020
Mortality modeling and regression with matrix distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt +1
In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valu…