Pages that link to "Item:Q502880"
From MaRDI portal
The following pages link to On magnitude, asymptotics and duration of drawdowns for Lévy models (Q502880):
Displaying 30 items.
- On occupation times in the red of Lévy risk models (Q784389) (← links)
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models (Q1617121) (← links)
- Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022) (← links)
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026) (← links)
- Change-point detection for Lévy processes (Q1737954) (← links)
- Expected utility of the drawdown-based regime-switching risk model with state-dependent termination (Q1742717) (← links)
- Poissonian potential measures for Lévy risk models (Q1799648) (← links)
- Pricing American drawdown options under Markov models (Q2030371) (← links)
- Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes (Q2042048) (← links)
- Exit problems for positive self-similar Markov processes with one-sided jumps (Q2091523) (← links)
- On the analysis of deep drawdowns for the Lévy insurance risk model (Q2234758) (← links)
- Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949) (← links)
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes (Q2306086) (← links)
- Drawdown and drawup for fractional Brownian motion with trend (Q2312786) (← links)
- On future drawdowns of Lévy processes (Q2360246) (← links)
- Parisian ruin for a refracted Lévy process (Q2397862) (← links)
- On taxed spectrally negative Lévy processes with draw-down stopping (Q2404541) (← links)
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813) (← links)
- The Parisian and ultimate drawdowns of Lévy insurance models (Q2682983) (← links)
- Optimal dividends under a drawdown constraint and a curious square-root rule (Q2697497) (← links)
- DRAWDOWN MEASURES AND RETURN MOMENTS (Q4555853) (← links)
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes (Q4684875) (← links)
- Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes (Q5055203) (← links)
- Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance (Q5087005) (← links)
- The<i>W</i>,<i>Z</i>scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems (Q5135954) (← links)
- Exit problems for general draw-down times of spectrally negative Lévy processes (Q5226250) (← links)
- A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time (Q5242231) (← links)
- Optimisation of drawdowns by generalised reinsurance in the classical risk model (Q6089415) (← links)
- A general method for analysis and valuation of drawdown risk (Q6111436) (← links)
- A Monte Carlo algorithm for the extrema of tempered stable processes (Q6198071) (← links)