Publicaciones (publications)
Libros- Stochastic Optimization in Insurance: A Dynamic Programming Approach. Co-author: Nora Muler. Springer Briefs in Quantitative Finance, Springer, (2014).
Publicaciones
Optimal dividend strategies for a catastrophe insurer. Co-authors: Hansjörg Albrecher and Nora Muler. Preprint publicado en arXiv:2311.05781, (2023).
- Optimal dividends under a drawdown constraint and a curious square-root rule. Co-authors: Hansjörg Albrecher and Nora Muler. Finance & Stochastics, 27, 341-400, (2023).
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis. Co-authors: Nora Muler, Xiaoqing Liang and Virginia R. Young. SIAM Journal on Financial Mathematics, 14, no. 1, 279-313, (2023).
- Optimal strategies in a production-inventory control model. Co-authors: Nora Muler and Esther Frostig. Methodology and Computing in Applied Probability, 25, issue 1, art. 43, (2023).
- Optimal Ratcheting of Dividends in a Brownian Risk Model. Co-authors: Hansjörg Albrecher and Nora Muler. SIAM Journal on Financial Mathematics, 13, no. 3, 657-701, (2022).
- A Multidimensional Problem of Optimal Dividends with Irreversible Switching: A Convergent Numerical Scheme. Co-author: Nora Muler. Applied Mathematics & Optimization, 83, no. 3, 1613–1649, (2021).
- Optimal ratcheting of dividends in insurance. Co-authors: Hansjörg Albrecher and Nora Muler. SIAM Journal on Control and Optimization, 58, no. 4, 1822-1845, (2020).
- Optimal dividend payments for a two-dimensional insurance risk process. Co-authors: Nora Muler and Zbigniew Palmowski. Eur. Actuar. J., 9, 241-272, (2019).
- Optimal Cash Management Problem for Compound Poisson Processes with Two-Sided Jumps. Co-author: Nora Muler. Applied Mathematics & Optimization, 80, 331-368, (2019).
- Optimal Dividend Strategies for Two Collaborating Insurance Companies. Co-authors: Hansjörg Albrecher and Nora Muler. Advances in Applied Probability, 49, no. 2, 515-548, (2017).
- Optimal dividend payment and regime switching in a
Compound Poisson risk model. Co-author:
Nora Muler. SIAM Journal on Control Optimization, 53, no. 5, 3270-3298, (2015).
- Minimizing the ruin probability allowing investments
in two assets: a two dimensional problem. Co-author:
Nora Muler. Mathematical Methods of Operations Research, vol. 77, 107-206, (2013).
- Optimal dividend policies for compound Poisson
processes: the case of bounded dividend rates. Co-author:
Nora Muler. Insurance: Mathematics and Economics, vol. 51, 26-42, (2012).
- Optimal investment policy and dividend payment
strategy in an Insurance Company. Co-author:
Nora Muler. Annals of Applied Probability, vol. 20, 1253-1302, (2010).
- Optimal investment strategy to minimize the ruin
probability of an insurance company under borrowing constraints. Co-author: Nora Muler. Insurance: Mathematics and Economics, vol. 44, 26-34, (2009).
- Optimal Reinsurance and Dividend Distribution
Policies in the Cramer-Lundberg model. Co-author: Nora Muler. Mathematical Finance, vol. 15, 261-308, (2005).
- Characterization of Optimal
Reinsurance and Dividend Distribution in the Cramer-Lundberg Model. Numerical
Solutions. Co-author: Nora Muler. Proceedings
of the First Brazilian Conference on Statistical Modeling in Insurance and
Finance, (2003).
- Optimal Reinsurance and Dividend Distribution Policies in the Cramer Lundberg Model: A Viscosity Solution Approach. Co-author: Nora Muler. Proceedings of the First Brazilian Conference on Statistical Modeling in Insurance and Finance, (2003).