44 citations · 231 across the 45 of their papers we have counts for
Showing 2016 · math.PRShow all
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math.PR2016★ 4 cited
Mixed Periodic-classical barrier strategies for Lévy risk processes
José-Luis Pérez, Kazutoshi Yamazaki
Given a spectrally negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever…
math.PR2016★ 7 cited
On the optimality of Periodic barrier strategies for a spectrally positive Lévy process
José-Luis Pérez, Kazutoshi Yamazaki
We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al.…
math.PR2016★ 7 cited
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
Florin Avram, José Luis Pérez, Kazutoshi Yamazaki
We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at o…