15 citations · 35 across the 12 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…
Branching processes with interactions: the subcritical cooperative regime
Adrián González Casanova, Juan Carlos Pardo, José Luis Perez
In this paper, we introduce a family of processes with values on the nonnegative integers that describes the dynamics of populations where individuals are allowed to have different…
On the Refracted-Reflected Spectrally Negative Lévy Processes
José-Luis Pérez, Kazutoshi Yamazaki
We study a combination of the refracted and reflected Lévy processes. Given a spectrally negative Lévy process and two boundaries, it is reflected at the lower boundary while, when…
Lévy insurance risk processes with parisian type severity of debt
Juan Carlos Pardo, Jose Luis Perez, Victor Rivero
In this article, we introduce a new definition of bankruptcy for a spectrally negative Lévy insurance risk process. More precisely, we study the Gerber-Shiu distribution for a ruin…
A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion
Juan Carlos Pardo, Victor Pérez-Abreu, José Luis Pérez-Garmendia
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued…
An application of the backbone decomposition to supercritical super-Brownian motion with a barrier
A. Kyprianou, A. Murillo-Salas, J. L. Perez
We analyse the behaviour of supercritical super-Brownian motion with a barrier through the pathwise backbone embedding of Berestycki et al. (2011). In particular, by considering ex…