Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions

DOI10.1007/s00245-018-9492-yzbMath1436.91112arXiv1712.04418OpenAlexW2962994265MaRDI QIDQ1987324

Zbigniew Palmowski, Joanna Tumilewicz

Publication date: 14 April 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.04418

zbMATH Keywords

optimal stoppingLévy processdrawdowninsurance contractfair valuationdrawup

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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