Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949)
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scientific article; zbMATH DE number 6414138
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| English | Analysis of a drawdown-based regime-switching Lévy insurance model |
scientific article; zbMATH DE number 6414138 |
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Analysis of a drawdown-based regime-switching Lévy insurance model (English)
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13 March 2015
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drawdown
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exit time
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two-sided exit problem
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Lévy process
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occupation time
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premium change
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regime-switching
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0.8084873557090759
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0.8006070852279663
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0.7877894043922424
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0.7873803377151489
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0.775940477848053
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