Phase-type fitting of scale functions for spectrally negative Lévy processes M Egami, K Yamazaki Journal of Computational and Applied Mathematics 264, 1-22, 2014 | 96* | 2014 |
On optimal dividends in the dual model E Bayraktar, AE Kyprianou, K Yamazaki ASTIN Bulletin: The Journal of the IAA 43 (3), 359-372, 2013 | 95 | 2013 |
Optimal dividends in the dual model under transaction costs E Bayraktar, AE Kyprianou, K Yamazaki Insurance: Mathematics and Economics 54, 133-143, 2014 | 67 | 2014 |
Precautionary measures for credit risk management in jump models M Egami, K Yamazaki Stochastics an International Journal of Probability and Stochastic Processes …, 2013 | 45 | 2013 |
Inventory control for spectrally positive Lévy demand processes K Yamazaki Mathematics of Operations Research 42 (1), 212-237, 2017 | 42 | 2017 |
Asymptotically optimal Bayesian sequential change detection and identification rules S Dayanik, WB Powell, K Yamazaki Annals of Operations Research 208, 337-370, 2013 | 39* | 2013 |
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above F Avram, JL Pérez, K Yamazaki Stochastic Processes and their Applications 128 (1), 255-290, 2018 | 37 | 2018 |
On the optimality of periodic barrier strategies for a spectrally positive Lévy process JL Pérez, K Yamazaki Insurance: Mathematics and Economics 77, 1-13, 2017 | 37 | 2017 |
Discussion Paper Series 2011-05 (revised version of 2010-03) M Fukasawa, I Ishida, N Maghrebi, K Oya, M Ubukata, K Yamazaki International Journal of Theoretical and Applied Finance 14 (4), 433-463, 2011 | 36 | 2011 |
Fluctuation theory for level-dependent Lévy risk processes I Czarna, JL Pérez, T Rolski, K Yamazaki Stochastic Processes and their Applications 129 (12), 5406-5449, 2019 | 28 | 2019 |
On the refracted–reflected spectrally negative Lévy processes JL Pérez, K Yamazaki Stochastic Processes and their Applications 128 (1), 306-331, 2018 | 28 | 2018 |
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models B Avanzi, JL Pérez, B Wong, K Yamazaki Insurance: Mathematics and Economics 72, 148-162, 2017 | 28 | 2017 |
On optimal periodic dividend strategies for Lévy risk processes K Noba, JL Pérez, K Yamazaki, K Yano Insurance: Mathematics and Economics 80, 29-44, 2018 | 27 | 2018 |
Index policies for discounted bandit problems with availability constraints S Dayanik, W Powell, K Yamazaki Advances in Applied Probability 40 (2), 377-400, 2008 | 27 | 2008 |
Optimality of refraction strategies for spectrally negative Lévy processes D Hernández-Hernández, JL Perez, K Yamazaki SIAM Journal on Control and Optimization 54 (3), 1126-1156, 2016 | 26 | 2016 |
Refraction–reflection strategies in the dual model JL Pérez, K Yamazaki ASTIN Bulletin: The Journal of the IAA 47 (1), 199-238, 2017 | 25 | 2017 |
American step-up and step-down default swaps under Lévy models T Leung, K Yamazaki Quantitative Finance 13 (1), 137-157, 2013 | 24 | 2013 |
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting T Leung, K Yamazaki, H Zhang International Journal of Theoretical and Applied Finance 18 (05), 1550032, 2015 | 23 | 2015 |
Games of singular control and stopping driven by spectrally one-sided Lévy processes D Hernández-Hernández, K Yamazaki Stochastic Processes and their Applications 125 (1), 1-38, 2015 | 22 | 2015 |
Default swap games driven by spectrally negative Lévy processes M Egami, T Leung, K Yamazaki Stochastic Processes and their Applications 123 (2), 347-384, 2013 | 22 | 2013 |