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math.OC2014★ 13 cited
Optimal dividend payment under time of ruin contraint: Exponential case
Camilo Hernandez, Mauricio Junca
We consider the classical optimal dividends problem under the Cramér-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual…
math.OC2014
An optimal maintenance policy for systems subject to shocks and progressive deterioration
Mauricio Junca
We define a model of a system that deteriorate as a result of (i) shocks, modeled as a compound Poisson process and (ii) deterministic, state dependent progressive rate, with varia…