On the analysis of deep drawdowns for the Lévy insurance risk model (Q2234758)
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| Language | Label | Description | Also known as |
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| English | On the analysis of deep drawdowns for the Lévy insurance risk model |
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On the analysis of deep drawdowns for the Lévy insurance risk model (English)
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19 October 2021
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The authors study the magnitude and the duration of deep drawdowns for the Lévy insurance risk model through the characterization of the Laplace transform of a related stopping time. Lévy insurance risk process is a process with stationary and independent increments and no positive jumps. A temporal approximation approach is applied allowing a unified treatment of processes with bounded and unbounded variation paths. Certain limiting cases of the main results are shown.
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drawdown process
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drawdown duration
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Lévy insurance risk processes
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drawdown magnitude
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scale functions
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