44 citations · 231 across the 45 of their papers we have counts for
6 papers · 1 filter
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki +1
De Finetti's optimal dividend problem has recently been extended to the case dividend payments can only be made at Poisson arrival times. This paper considers the version with bail…
Fluctuation theory for level-dependent Lévy risk processes
Irmina Czarna, José-Luis Pérez, Tomasz Rolski +1
A level-dependent Lévy process solves the stochastic differential equation , where is a spectrally negative Lévy process. A special case is a multi-re…
On the Bail-Out Optimal Dividend Problem
José-Luis Pérez, Kazutoshi Yamazaki, Xiang Yu
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open prob…
American options under periodic exercise opportunities
José Luis Pérez, Kazutoshi Yamazaki
In this paper, we study a version of the perpetual American call/put option where exercise opportunities arrive only periodically. Focusing on the exponential Lévy models with i.i.…
On optimal periodic dividend strategies for Lévy risk processes
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki +1
In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spect…
Phase-type Approximation of the Gerber-Shiu Function
Kazutoshi Yamazaki
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at…