On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk (Q2389601)
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scientific article; zbMATH DE number 5580231
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| English | On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk |
scientific article; zbMATH DE number 5580231 |
Statements
On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk (English)
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17 July 2009
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Calmar ratio
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Crámer-Lundberg
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drawdown
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random walk
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Skorokhod embeddings
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0.6944184899330139
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0.6944184899330139
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0.6870846748352051
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0.686368465423584
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