13 citations · 25 across the 16 of their papers we have counts for
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q-fin.PM2014
Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
Mauricio Junca, Rafael Serrano
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consi…
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…