Optimal Ratcheting of Dividends in a Brownian Risk Model.

Hansjörg Albrecher Pablo Azcue Nora Muler

Published in: SIAM J. Financial Math. (2022)

Keyphrases

mathematical model
prior knowledge
computational model
experimental data
formal model
neural network
similarity measure
probability distribution
management system
closed form
objective function
optimal solution
parameter values
risk management