Edit Profile (opens in new tab) Egami, Masahiko Co-Author Distance Author ID: egami.masahiko Published as: Egami, Masahiko External Links: MGP Documents Indexed: 26 Publications since 2007, including 7 Additional arXiv Preprints 1 Contribution as Editor Co-Authors: 12 Co-Authors with 24 Joint Publications 233 Co-Co-Authors all top 5 Co-Authors 3 single-authored 5 Bayraktar, Erhan 5 Oryu, Tadao 5 Yamazaki, Kazutoshi 3 Kevkhishvili, Rusudan 2 Young, Virginia R. 1 Dayanik, Savas 1 Iwaki, Hideki 1 Kijima, Masaaki 1 Leung, Tim 1 Muromachi, Yukio 1 Tanaka, Keiichi 1 Xu, Mingxin all top 5 Serials 3 Stochastic Processes and their Applications 3 Mathematical Methods of Operations Research 2 Advances in Applied Probability 2 Mathematics of Operations Research 2 Finance and Stochastics 1 Journal of Computational and Applied Mathematics 1 Operations Research 1 SIAM Journal on Control and Optimization 1 Insurance Mathematics & Economics 1 Journal of Economic Dynamics & Control 1 Mathematical Finance 1 Stochastics all top 5 Fields 21 Probability theory and stochastic processes (60-XX) 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Systems theory; control (93-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Statistics (62-XX) 1 General and overarching topics; collections (00-XX) 1 Numerical analysis (65-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 18 Publications have been cited 225 times in 186 Documents Cited by ▼ Year ▼ Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094 Egami, Masahiko; Yamazaki, Kazutoshi 55 2014 Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049 Bayraktar, Erhan; Egami, Masahiko 35 2008 On the one-dimensional optimal switching problem. Zbl 1221.60058 Bayraktar, Erhan; Egami, Masahiko 28 2010 Indifference prices of structured catastrophe (CAT) bonds. Zbl 1152.91442 Egami, Masahiko; Young, Virginia R. 18 2008 Precautionary measures for credit risk management in jump models. Zbl 1288.91187 Egami, Masahiko; Yamazaki, Kazutoshi 17 2013 A direct solution method for stochastic impulse control problems of one-dimensional diffusions. Zbl 1161.49036 Egami, Masahiko 13 2008 The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095 Bayraktar, Erhan; Egami, Masahiko 11 2007 Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418 Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi 11 2013 An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179 Bayraktar, Erhan; Egami, Masahiko 6 2008 On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062 Egami, Masahiko; Yamazaki, Kazutoshi 6 2014 Optimal reinsurance strategy under fixed cost and delay. Zbl 1172.62035 Egami, Masahiko; Young, Virginia R. 5 2009 A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142 Bayraktar, Erhan; Egami, Masahiko 4 2010 An excursion-theoretic approach to regulator’s bank reorganization problem. Zbl 1377.91171 Egami, Masahiko; Oryu, Tadao 4 2015 Optimal stopping problems for asset management. Zbl 1262.91123 Dayanik, Savas; Egami, Masahiko 4 2012 A game options approach to the investment problem with convertible debt financing. Zbl 1232.91697 Egami, Masahiko 3 2010 A continuous-time search model with job switch and jumps. Zbl 1194.60028 Egami, Masahiko; Xu, Mingxin 2 2009 A direct solution method for pricing options involving the maximum process. Zbl 1391.91155 Egami, Masahiko; Oryu, Tadao 2 2017 Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186 Egami, Masahiko; Kevkhishvili, Rusudan 1 2020 Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186 Egami, Masahiko; Kevkhishvili, Rusudan 1 2020 A direct solution method for pricing options involving the maximum process. Zbl 1391.91155 Egami, Masahiko; Oryu, Tadao 2 2017 An excursion-theoretic approach to regulator’s bank reorganization problem. Zbl 1377.91171 Egami, Masahiko; Oryu, Tadao 4 2015 Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094 Egami, Masahiko; Yamazaki, Kazutoshi 55 2014 On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062 Egami, Masahiko; Yamazaki, Kazutoshi 6 2014 Precautionary measures for credit risk management in jump models. Zbl 1288.91187 Egami, Masahiko; Yamazaki, Kazutoshi 17 2013 Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418 Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi 11 2013 Optimal stopping problems for asset management. Zbl 1262.91123 Dayanik, Savas; Egami, Masahiko 4 2012 On the one-dimensional optimal switching problem. Zbl 1221.60058 Bayraktar, Erhan; Egami, Masahiko 28 2010 A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142 Bayraktar, Erhan; Egami, Masahiko 4 2010 A game options approach to the investment problem with convertible debt financing. Zbl 1232.91697 Egami, Masahiko 3 2010 Optimal reinsurance strategy under fixed cost and delay. Zbl 1172.62035 Egami, Masahiko; Young, Virginia R. 5 2009 A continuous-time search model with job switch and jumps. Zbl 1194.60028 Egami, Masahiko; Xu, Mingxin 2 2009 Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049 Bayraktar, Erhan; Egami, Masahiko 35 2008 Indifference prices of structured catastrophe (CAT) bonds. Zbl 1152.91442 Egami, Masahiko; Young, Virginia R. 18 2008 A direct solution method for stochastic impulse control problems of one-dimensional diffusions. Zbl 1161.49036 Egami, Masahiko 13 2008 An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179 Bayraktar, Erhan; Egami, Masahiko 6 2008 The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095 Bayraktar, Erhan; Egami, Masahiko 11 2007 all cited Publications top 5 cited Publications all top 5 Cited by 270 Authors 27 Yamazaki, Kazutoshi 17 Pérez Garmendia, Jose Luis 8 Bayraktar, Erhan 6 Avanzi, Benjamin 6 Egami, Masahiko 5 Yin, Chuancun 4 Christensen, Soren 4 Gapeev, Pavel V. 4 Lkabous, Mohamed Amine 4 Noba, Kei 4 Suzuki, Kiyoshi 4 Zhang, Hongzhong 4 Zhao, Yongxia 3 Czarna, Irmina 3 Egídio dos Reis, Alfredo D. 3 Frostig, Esther 3 Jiang, Zhengjun 3 Leung, Tim 3 Palmowski, Zbigniew 3 Pantelous, Athanasios A. 3 Pham, Huyên 3 Wong, Bernard 3 Xie, Jiayi 3 Zhang, Zhimin 3 Zhou, Ming 2 Alvarez, Luis H. R. 2 Behme, Anita Diana 2 Cardoso, Rui M. R. 2 Chao, Wen 2 Chen, Ping 2 Chen, Shumin 2 Chevalier, Etienne 2 Dai, Hongshuai 2 De Angelis, Tiziano 2 Ekström, Erik 2 El Asri, Brahim 2 Ferrari, Giorgio 2 Hamadene, Saïd 2 Helmes, Kurt L. 2 Hernández-Hernández, Daniel 2 Ivanovs, Jevgeņijs 2 Kabanov, Yuriĭ Mikhaĭlovich 2 Kwok, Yue-Kuen 2 Kyprianou, Andreas E. 2 Landriault, David 2 Lau, Hayden 2 Leobacher, Gunther 2 Li, Bin 2 Li, Peng 2 Liang, Gechun 2 Liu, Yuxuan 2 Liu, Zaiming 2 Ludkovski, Michael 2 Ly Vath, Vathana 2 Moreno-Franco, Harold A. 2 Ng, Andrew Cheuk-Yin 2 Papaioannou, Apostolos D. 2 Pergamenshchikov, Sergeĭ Markovich 2 Rakkolainen, Teppo A. 2 Renaud, Jean-François 2 Rodosthenous, Neofytos 2 Rodríguez-Martínez, Eugenio V. 2 Seifried, Frank Thomas 2 Shao, Jia 2 Stockbridge, Richard H. 2 Surya, Budhi Arta 2 Tang, Qihe 2 Wang, Rongming 2 Wang, Wenyuan 2 Wang, Zijia 2 Wen, Yuzhen 2 Wong, Tat Wing 2 Yano, Kouji 2 Young, Virginia R. 2 Yuan, Zhongyi 2 Yuen, Kam Chuen 2 Zhu, Lingjiong 1 Abidi, Hani 1 Afhami, Bahareh 1 Afonso, Lourdes B. 1 Amami, Rim 1 Angoshtari, Bahman 1 Asmussen, Søren 1 Assa, Hirbod 1 Avram, Florin 1 Azcue, Pablo 1 Bai, Lihua 1 Baltas, Ioannis D. 1 Bandini, Elena 1 Baurdoux, Erik Jan 1 Belak, Christoph 1 Bensoussan, Alain 1 Bergel, Agnieszka I. 1 Bichuch, Maxim 1 Bihary, Zsolt 1 Bladt, Mogens 1 Bo, Lijun 1 Borovkov, Konstantin A. 1 Boubaker, Sabri 1 Boxma, Onno Johan ...and 170 more Authors all top 5 Cited in 57 Serials 21 Insurance Mathematics & Economics 10 Stochastic Processes and their Applications 9 SIAM Journal on Control and Optimization 8 Quantitative Finance 7 Applied Mathematics and Optimization 7 ASTIN Bulletin 6 Journal of Computational and Applied Mathematics 6 European Journal of Operational Research 6 Mathematical Methods of Operations Research 5 Advances in Applied Probability 5 Mathematics of Operations Research 5 Methodology and Computing in Applied Probability 5 Stochastics 4 Applied Mathematics and Computation 4 Annals of Operations Research 4 Finance and Stochastics 4 Scandinavian Actuarial Journal 4 Stochastic Models 4 Mathematics and Financial Economics 3 Journal of Applied Probability 3 Journal of Optimization Theory and Applications 3 Journal of Economic Dynamics & Control 3 Discrete Dynamics in Nature and Society 3 North American Actuarial Journal 2 Journal of Mathematical Analysis and Applications 2 Statistics & Probability Letters 2 Communications in Statistics. Theory and Methods 2 Statistical Papers 2 Applied Mathematical Finance 2 Mathematical Finance 2 International Journal of Theoretical and Applied Finance 2 Applied Stochastic Models in Business and Industry 2 Journal of Industrial and Management Optimization 2 SIAM Journal on Financial Mathematics 2 European Actuarial Journal 1 Automatica 1 Operations Research 1 Operations Research Letters 1 Acta Mathematicae Applicatae Sinica. English Series 1 Sequential Analysis 1 Mathematical and Computer Modelling 1 Queueing Systems 1 The Annals of Applied Probability 1 Journal of Mathematical Sciences (New York) 1 Revista Investigación Operacional 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Abstract and Applied Analysis 1 Journal of Applied Mathematics and Decision Sciences 1 The ANZIAM Journal 1 Dynamics of Continuous, Discrete & Impulsive Systems. Series B. Applications & Algorithms 1 Discrete and Continuous Dynamical Systems. Series B 1 Nonlinear Analysis. Hybrid Systems 1 MathematicS In Action 1 Afrika Matematika 1 Mathematical Control and Related Fields 1 Stochastic Systems 1 Philosophical Transactions of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences all top 5 Cited in 15 Fields 142 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 133 Probability theory and stochastic processes (60-XX) 71 Systems theory; control (93-XX) 30 Calculus of variations and optimal control; optimization (49-XX) 17 Statistics (62-XX) 17 Operations research, mathematical programming (90-XX) 9 Numerical analysis (65-XX) 4 Integral transforms, operational calculus (44-XX) 3 Partial differential equations (35-XX) 1 Field theory and polynomials (12-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) 1 Mathematics education (97-XX) Citations by Year