José-Luis Pérez

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

Guanajuato

Mexico

SCHOLARLY PAPERS

4

DOWNLOADS

34

CITATIONS

2

Scholarly Papers (4)

1.

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 18 (530,270)
Citation 1

Abstract:

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

2.

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 12 (565,995)

Abstract:

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

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 2 (635,340)

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 2 (635,340)

Abstract:

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