Analysis of a drawdown-based regime-switching Lévy insurance model

DOI10.1016/j.insmatheco.2014.11.005zbMath1308.91086OpenAlexW2009422619MaRDI QIDQ2260949

Bin Li, Shu Li, David Landriault

Publication date: 13 March 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.005

zbMATH Keywords

occupation timeLévy processexit timeregime-switchingdrawdowntwo-sided exit problempremium change

Mathematics Subject Classification ID

Related Items (13)

Banach contraction principle and ruin probabilities in regime-switching models ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ Drawdown analysis for the renewal insurance risk process ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ A generalization of Gerber's inequality for ruin probabilities in risk-switching models ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Expected utility of the drawdown-based regime-switching risk model with state-dependent termination ⋮ Poissonian potential measures for Lévy risk models ⋮ Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ General drawdown of general tax model in a time-homogeneous Markov framework

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