53 citations · 54 across the 3 of their papers we have counts for
3 papers · 1 filter
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…
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…