77 citations · 132 across the 8 of their papers we have counts for
7 papers · 1 filter
Optimal Abatement Schedules for Excess Carbon Emissions Towards a Net-Zero Target
Hansjoerg Albrecher, Nora Muler
Achieving net-zero carbon emissions requires a transformation of energy systems, industrial processes, and consumption patterns. In particular, a transition towards that goal invol…
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…
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Pablo Azcue, Xiaoqing Liang, Nora Muler +1
In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cramér-Lundberg risk model when the reinsurance premium is computed…
Optimal strategies in a production-inventory control model
Pablo Azcue, Esther Frostig, Nora Muler
We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a comp…
A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
Pablo Azcue, Nora Muler
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insura…
Optimal dividend payments for a two-dimensional insurance risk process
Pablo Azcue, Nora Muler, Zbigniew Palmowski
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in…
Optimal Dividend Strategies for Two Collaborating Insurance Companies
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's def…