Search Results - "Muler, Nora"

A Multidimensional Problem of Optimal Dividends with Irreversible Switching: A Convergent Numerical Scheme by Azcue, Pablo, Muler, Nora

“…In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up…”
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OPTIMAL INVESTMENT POLICY AND DIVIDEND PAYMENT STRATEGY IN AN INSURANCE COMPANY by Azcue, Pablo, Muler, Nora

“…We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér—Lundberg…”
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OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL by Azcue, Pablo, Muler, Nora

“…We consider that the reserve of an insurance company follows a Cramér‐Lundberg process. The management has the possibility of controlling the risk by means of…”
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Optimal Cash Management Problem for Compound Poisson Processes with Two-Sided Jumps by Azcue, Pablo, Muler, Nora

“…This paper presents a continuous time cash management problem where the uncontrolled money stock follows a compound poisson process with two-sided jumps and…”
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Optimal Strategies in a Production Inventory Control Model by Azcue, Pablo, Frostig, Esther, Muler, Nora

“…We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer…”
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Optimal dividends under a drawdown constraint and a curious square-root rule by Albrecher, Hansjörg, Azcue, Pablo, Muler, Nora

“…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…”
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Optimal dividend strategies for two collaborating insurance companies by Albrecher, Hansjörg, Azcue, Pablo, Muler, Nora

“…We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by…”
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Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem by Azcue, Pablo, Muler, Nora

“…We consider in this paper that the reserve of an insurance company follows the classical model, in which the aggregate claim amount follows a compound Poisson…”
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Optimal dividend payments for a two-dimensional insurance risk process by Azcue, Pablo, Muler, Nora, Palmowski, Zbigniew

“…We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing…”
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Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates by Azcue, Pablo, Muler, Nora

“…We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér–Lundberg model…”
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An L∞ bound for solutions of the Cahn-Hilliard equation by CAFFARELLI, L. A, MULER, N. E

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Robust estimation for vector autoregressive models by Muler, Nora, Yohai, V´ictor J.

“…A new class of robust estimators for VAR models is introduced. These estimators are an extension to the multivariate case of the MM-estimators based on a…”
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Robust Estimation for ARMA Models by Muler, Nora, Peña, Daniel, Yohai, Víctor J.

“…This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is…”
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Robust estimates for GARCH models by Muler, Nora, Yohai, Victor J.

“…In this paper we present two robust estimates for GARCH models. The first is defined by the minimization of a conveniently modified likelihood and the second…”
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Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints by Azcue, Pablo, Muler, Nora

“…We consider that the surplus of an insurance company follows a Cramér–Lundberg process. The management has the possibility of investing part of the surplus in…”
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Optimal dividend strategies for a catastrophe insurer by Albrecher, Hansjoerg, Azcue, Pablo, Muler, Nora

“…In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted…”
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Optimal dividends under a drawdown constraint and a curious square-root rule by Albrecher, Hansjoerg, Azcue, Pablo, Muler, Nora

“…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…”
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A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme by Azcue, Pablo, Muler, Nora

“…In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up…”
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Optimal ratcheting of dividends in a Brownian risk model by Albrecher, Hansjoerg, Azcue, Pablo, Muler, Nora

“…We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting,…”
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Optimal strategies in a production-inventory control model by Azcue, Pablo, Frostig, Esther, Muler, Nora

“…We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer…”
Get full text