53 citations · 55 across the 7 of their papers we have counts for
12 papers
Optimal Cash Transfers and Microinsurance to Reduce Social Protection Costs
Pablo Azcue, Corina Constantinescu, José Miguel Flores-Contró +1
Design and implementation of appropriate social protection strategies is one of the main targets of the United Nation's Sustainable Development Goal (SDG) 1: No Poverty. Cash trans…
Optimal dividends for a NatCat insurer in the presence of a climate tipping point
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity…
Optimal dividend strategies for a catastrophe insurer
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifet…
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 ratcheting of dividends in a Brownian risk model
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
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…
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…
Optimal ratcheting of dividends in insurance
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decrea…
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…
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…