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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…
Multivariate Matrix Mittag--Leffler distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose margi…
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
Hansjoerg Albrecher, Jevgenijs Ivanovs
We consider exit problems for general Lévy processes, where the first passage over a threshold is detected either immediately or at an epoch of an independent homogeneous Poisson p…