José-Luis Pérez

Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics

Guanajuato

Mexico

SCHOLARLY PAPERS

4

DOWNLOADS

56

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

The Leland-Toft Optimal Capital Structure Model Under Poisson Observations

Number of pages: 34 Posted: 16 May 2019
affiliation not provided to SSRN, Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics, Victoria University of Wellington and Kansai University - Department of Mathematics
Downloads 29 (489,169)

Abstract:

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credit risk, endogenous bankruptcy, optimal capital structure, spectrally negative Levy processes, term structure of credit spreads

2.

On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Lévy Processes

UNSW Business School Research Paper No. 2016ACTL05
Number of pages: 28 Posted: 07 Jul 2016
UNSW Australia Business School, School of Risk and Actuarial Studies, Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics, UNSW Australia Business School, School of Risk & Actuarial Studies and Kansai University - Department of Mathematics
Downloads 19 (546,708)
Citation 1

Abstract:

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Surplus models, Optimal dividends, Threshold strategy, Barrier strategy, Transaction costs

3.

On the Refracted-Reflected Spectrally Negative Levy Processes

Stochastic Processes and their Applications, 128(1), 306-331, 2018.
Number of pages: 28 Posted: 06 Jun 2019
José-Luis Pérez and Kazutoshi Yamazaki
Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics and Kansai University - Department of Mathematics
Downloads 5 (637,510)

Abstract:

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Levy processes, fluctuation theory, scale functions, insurance risk

4.

Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model

Applied Mathematics and Optimization (2018). DOI:10.1007/s00245-018-9494-9
Number of pages: 26 Posted: 05 Jun 2019
José-Luis Pérez and Kazutoshi Yamazaki
Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics and Kansai University - Department of Mathematics
Downloads 3 (652,528)

Abstract:

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dividends, Levy processes, periodic strategies, scale functions, dual model