53 citations · 54 across the 3 of their papers we have counts for
5 papers
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 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…