77 citations · 130 across the 2 of their papers we have counts for
2 papers
q-fin.PM2010★ 53 cited
Optimal investment policy and dividend payment strategy in an insurance company
Pablo Azcue, Nora Muler
We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér--Lundberg process. The firm has the…
math.ST2009★ 77 cited
Robust estimation for ARMA models
Nora Muler, Daniel Peña, Víctor J. Yohai
This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period wh…