Publicaciones (publications)

• Stochastic Optimization in Insurance: A Dynamic Programming Approach. Co-author: Pablo Azcue. Springer Briefs in Quantitative Finance, Springer, (2014).

• Optimal dividends for a Natural Catastrophe insurer in the presence of a climate tipping point. Co-authors: Hansjörg Albrecher and Pablo Azcue. Submitted.

• Optimal dividend strategies for a catastrophe insurer. Co-authors: Hansjörg Albrecher and Pablo Azcue. Frontiers of Mathematical Finance, 3, no. 2, 304-344, (2024).

• Optimal dividends under a drawdown constraint and a curious square-root rule. Co-authors: Hansjörg Albrecher and Pablo Azcue. Finance & Stochastics, 27, 341-400, (2023).

• Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis. Co-authors: Pablo Azcue, 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: Pablo Azcue 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 Pablo Azcue. 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: Pablo Azcue. Applied Mathematics & Optimization, 83, no. 3, 1613–1649, (2021).

• Optimal ratcheting of dividends in insurance. Co-authors: Hansjörg Albrecher and Pablo Azcue. SIAM Journal on Control and Optimization, 58, no. 4, 1822-1845, (2020).

• Optimal dividend payments for a two-dimensional insurance risk process. Co-authors: Pablo Azcue and Zbigniew Palmowski. Eur. Actuar. J., 9, 241-272, (2019).

• Optimal Cash Management Problem for Compound Poisson Processes with Two-Sided Jumps. Co-author: Pablo Azcue. Applied Mathematics & Optimization, 80, 331-368, (2019).
  
  
• Optimal Dividend Strategies for Two Collaborating Insurance Companies. Co-authors: Hansjörg Albrecher and Pablo Azcue. Advances in Applied Probability, 49, no. 2, 515-548, (2017).
  
  
• Optimal dividend payment and regime switching in a Compound Poisson risk model. Co-author: Pablo Azcue. 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: Pablo Azcue. Mathematical Methods of Operations Research, 77, 107-206, (2013).
  
  
• Robust estimation for vector autoregressive models. Co-author: Víctor Yohai. Computational Statistics & Data Analysis, 65, 68-79, (2013).
  
  
• Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates. Co-author: Pablo Azcue. Insurance: Mathematics and Economics, 51, 26-42, (2012). 
  
  
• Optimal investment policy and dividend payment strategy in an Insurance Company. Co-author: Pablo Azcue. Annals of Applied Probability, 20, 1253-1302, (2010).
  
  
• Robust Estimates for ARMA Models. Co-authors: Daniel Peña and Víctor Yohai. Annals of Statistics, 37, 816-840, (2009).
  
  
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints. Co-author: Pablo Azcue. Insurance: Mathematics and Economics, 44, 26-34, (2009).
  
  
• Robust Estimates for GARCH Models. Co-author: Víctor Yohai. Journal of Statistics Planning and Inference, 138, 2918-2940, (2008).
  
  
• Optimal Reinsurance and Dividend Distribution Policies in the Cramer-Lundberg model. Co-author: Pablo Azcue. Mathematical Finance, 15, 261-308, (2005).
  
  
• Characterization of Optimal Reinsurance and Dividend Distribution in the Cramer-Lundberg Model. Numerical Solutions. Co-author: Pablo Azcue. 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: Pablo Azcue. 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: Pablo Azcue. Proceedings of the First Brazilian Conference on Statistical Modeling in Insurance and Finance, (2003).
  
  
• Robust Estimates for ARCH Models. Co-author: Víctor Yohai. Journal of Time Series Analysis, 23, 341-375, (2002).
  
  
• A Uniform Bound for a time-discrete regularization of a forward-backward parabolic equation. Indiana University Mathematics Journal, 45, 683-694, (1996).
  
  
• A Uniform Bound for Solutions of the Cahn Hilliard Equation. Co-author: Luis Caffarelli. Archive for Rational Mechanics, 133, 129-144, (1995).