2 citations · 2 across the 1 of their papers we have counts for
4 papers
On the optimality of double barrier strategies for Lévy processes
Kei Noba
This paper studies de Finetti's optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying risk model follows a Lév…
On the bail-out dividend problem for spectrally negative Markov additive models
Kei Noba, José-Luis Pérez, Xiang Yu
This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the o…
Approximation and duality problems of refracted processes
Kei Noba
For given two standard processes with no positive jumps, we construct, using the excursion theory, a Markov process whose positive and negative motions have the same law as the two…
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…