On the analysis of deep drawdowns for the Lévy insurance risk model
From MaRDI portal
(Redirected from Publication:2234758)
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.
Recommendations
- Analysis of a drawdown-based regime-switching Lévy insurance model
- The Parisian and ultimate drawdowns of Lévy insurance models
- On a generalization from ruin to default in a Lévy insurance risk model
- On extreme ruinous behaviour of Lévy insurance risk processes
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- A note on limiting distribution for jumps of Lévy insurance risk model
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Stochastic modeling and fair valuation of drawdown insurance
- Ruin probabilities and overshoots for general Lévy insurance risk processes
Cites work
- A stopped Brownian motion formula
- A temporal approach to the Parisian risk model
- Discounted penalty function at Parisian ruin for Lévy insurance risk process
- Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
- Exit identities for Lévy processes observed at Poisson arrival times
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Fluctuations of Lévy processes with applications. Introductory lectures
- Formulas for stopped diffusion processes with stopping times based on the maximum
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- On barrier strategy dividends with Parisian implementation delay for classical surplus processes
- On future drawdowns of Lévy processes
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- On minimizing drawdown risks of lifetime investments
- On the drawdown of completely asymmetric Lévy processes
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Parisian ruin for a refracted Lévy process
- Parisian ruin probability for spectrally negative Lévy processes
- Portfolio sensitivity to changes in the maximum and the maximum drawdown
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
- The Russian option: Reduced regret
Cited in
(7)- Analysis of a drawdown-based regime-switching Lévy insurance model
- The Parisian and ultimate drawdowns of Lévy insurance models
- Bridging the first and last passage times for Lévy models
- Drawdown analysis for the renewal insurance risk process
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- A note on limiting distribution for jumps of Lévy insurance risk model
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
This page was built for publication: On the analysis of deep drawdowns for the Lévy insurance risk model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2234758)
