Stochastic modeling and fair valuation of drawdown insurance
From MaRDI portal
Publication:2015656
DOI10.1016/j.insmatheco.2013.10.006zbMath1290.91105arXiv1310.3860OpenAlexW2139831360MaRDI QIDQ2015656
Tim Leung, Olympia Hadjiliadis, Hongzhong Zhang
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.3860
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Related Items (17)
On future drawdowns of Lévy processes ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ Drawdown: from practice to theory and back again ⋮ A general method for analysis and valuation of drawdown risk ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ Pricing insurance drawdown-type contracts with underlying Lévy assets ⋮ Expected utility of the drawdown-based regime-switching risk model with state-dependent termination ⋮ Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions ⋮ Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ A unified approach for drawdown (drawup) of time-homogeneous Markov processes ⋮ Pricing American drawdown options under Markov models ⋮ Poissonian potential measures for Lévy risk models ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions ⋮ Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
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