44 citations · 231 across the 45 of their papers we have counts for
6 papers · 1 filter
Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities
José-Luis Pérez, Kazutoshi Yamazaki
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian mode…
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…
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Benjamin Avanzi, José-Luis Pérez, Bernard Wong +1
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and…
Optimality of two-parameter strategies in stochastic control
Kazutoshi Yamazaki
In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse cont…
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.…
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…