Drawdown analysis for the renewal insurance risk process (Q4575464): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/03461238.2015.1123174 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2298876183 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationary distributions for fluid flow models with or without brownian noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3560912 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Russian and American put options under exponential phase-type Lévy models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strategies for Dividend Distribution: A Review / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the analysis of a multi-threshold Markovian risk model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exit Problems for Reflected Markov-Modulated Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: MAXIMUM DRAWDOWN INSURANCE / rank
 
Normal rank
Property / cites work
 
Property / cites work: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4868512 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3680030 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The time to ruin and the number of claims until ruin for phase-type claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Occupation densities in solving exit problems for Markov additive processes and their reflections / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distributional Properties of CUSUM Stopping Times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gerber-Shiu risk theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3526631 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of a drawdown-based regime-switching Lévy insurance model / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Frequency of Drawdowns for Brownian Motion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Occupation times of spectrally negative Lévy processes with applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Formulas for stopped diffusion processes with stopping times based on the maximum / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a class of renewal risk models with a constant dividend barrier / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a general class of renewal risk process: analysis of the Gerber-Shiu function / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Joint Laplace Transforms for Diffusion Occupation Times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Occupation times of intervals until first passage times for spectrally negative Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the maximum drawdown of a Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the drawdown of completely asymmetric Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quickest Detection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Passage times in fluid models with application to risk processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4230625 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Russian option: Reduced regret / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stopped Brownian motion formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic modeling and fair valuation of drawdown insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum / rank
 
Normal rank

Latest revision as of 02:59, 16 July 2024

scientific article; zbMATH DE number 6903661
Language Label Description Also known as
English
Drawdown analysis for the renewal insurance risk process
scientific article; zbMATH DE number 6903661

    Statements

    Drawdown analysis for the renewal insurance risk process (English)
    0 references
    0 references
    0 references
    0 references
    13 July 2018
    0 references
    drawdown
    0 references
    two-sided exit problem
    0 references
    fluid flow technique
    0 references
    renewal insurance risk process
    0 references
    constant dividend barrier strategy
    0 references
    ruin probability
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers