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math.OC2022★ 1 cited
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…
math.OC2022
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…