15 citations · 35 across the 12 of their papers we have counts for
6 papers · 1 filter
Optimal periodic replenishment policies for spectrally positive Lévy demand processes
José-Luis Pérez, Kazutoshi Yamazaki, Alain Bensoussan
We consider a version of the stochastic inventory control problem for a spectrally positive Lévy demand process, in which the inventory can only be replenished at independent expon…
Optimality of refraction strategies for a constrained dividend problem
Mauricio Junca, Harold Moreno-Franco, José-Luis Pérez +1
We consider de Finetti's problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore,…
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…
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…
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 Refraction Strategies for Spectrally Negative Levy Processes
Daniel Hernandez-Hernandez, Jose-Luis Perez, Kazutoshi Yamazaki
We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgu…