Precautionary measures for credit risk management in jump models

DOI10.1080/17442508.2011.653566zbMath1288.91187arXiv1004.0595OpenAlexW1986272143MaRDI QIDQ5411898

Kazutoshi Yamazaki, Masahiko Egami

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.0595

zbMATH Keywords

optimal stoppingscale functionsdouble exponential jump diffusionspectrally negative Lévy processescredit risk management

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Credit risk (91G40)

Related Items (17)

Optimality of multi-refraction control strategies in the dual model ⋮ On the bail-out optimal dividend problem ⋮ An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem ⋮ On optimal periodic dividend strategies for Lévy risk processes ⋮ REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ Optimality of Two-Parameter Strategies in Stochastic Control ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models ⋮ Inventory Control for Spectrally Positive Lévy Demand Processes ⋮ Games of singular control and stopping driven by spectrally one-sided Lévy processes ⋮ Contraction options and optimal multiple-stopping in spectrally negative Lévy models ⋮ On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models ⋮ On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models ⋮ American step-up and step-down default swaps under Lévy models ⋮ Optimality of hybrid continuous and periodic barrier strategies in the dual model ⋮ Optimality of doubly reflected Lévy processes in singular control

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