15 citations · 35 across the 12 of their papers we have counts for
3 papers · 1 filter
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…
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…