An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem

DOI10.1287/opre.2015.1371zbMath1377.91171arXiv1311.3019OpenAlexW2115355700MaRDI QIDQ3450458

Masahiko Egami, Tadao Oryu

Publication date: 6 November 2015

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.3019

zbMATH Keywords

excursion theoryscale functionsspectrally negative Lévy processesprompt corrective actions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

Related Items (4)

Spectral risk measure of holding stocks in the long run ⋮ Strategic bank closure and deposit insurance valuation ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail

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