44 citations · 84 across the 22 of their papers we have counts for
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q-fin.CP2010★ 2 cited
Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions
Masahiko Egami, Kazutoshi Yamazaki
The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative Lévy model where the implementation of optimal strategies draws upon the…
math.PR2010★ 7 cited
Phase-type fitting of scale functions for spectrally negative Levy processes
Masahiko Egami, Kazutoshi Yamazaki
We study the scale function of the spectrally negative phase-type Levy process. Its scale function admits an analytical expression and so do a number of its fluctuation identities.…
q-fin.RM2010★ 44 cited
Precautionary Measures for Credit Risk Management in Jump Models
Masahiko Egami, Kazutoshi Yamazaki
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected an…