On the drawdown of completely asymmetric Lévy processes

DOI10.1016/J.SPA.2012.06.012MaRDI QIDQ454869zbMATH OpenOpenAlexFDO

Authors Aleksandar Mijatović, Martijn R. Pistorius

Publication date 10 October 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.1460

zbMATH Keywords

fluctuation theoryreflected processexcursion theorydrawdownsextuple lawspectrally one-sided Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17)

Abstract: The {em drawdown} process $Y$ of a completely asymmetric L'{e}vy process $X$ is equal to $X$ reflected at its running supremum $$: $$. In this paper we explicitly express in terms of the scale function and the L'{e}vy measure of $X$ the law of the sextuple of the first-passage time of $Y$ over the level $a>0$, the time $$ of the last supremum of $X$ prior to $a{u}_a$, the infimum $unl{X}_{a{u}_a}$ and supremum $ovl{X}_{a{u}_a}$ of $X$ at $a{u}_a$ and the undershoot $a-Y_{a{u}_a-}$ and overshoot $Y_{a{u}_a}-a$ of $Y$ at $a{u}_a$. As application we obtain explicit expressions for the laws of a number of functionals of drawdowns and rallies in a completely asymmetric exponential L'{e}vy model.

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Cited in

(42)

• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• On the analysis of deep drawdowns for the Lévy insurance risk model
• On future drawdowns of Lévy processes
• Variational formulas for the exit time of hunt processes generated by semi-Dirichlet forms
• Drawdown analysis for the renewal insurance risk process
• Perpetual American options in diffusion-type models with running maxima and drawdowns
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Pricing insurance drawdown-type contracts with underlying Lévy assets
• Optimisation of drawdowns by generalised reinsurance in the classical risk model
• A general method for analysis and valuation of drawdown risk
• Speed and duration of drawdown under general Markov models
• Exit problems for general draw-down times of spectrally negative Lévy processes
• Drawdown measures and return moments
• On some functionals of the first passage times in models with switching stochastic volatility
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
• General draw-down times for refracted spectrally negative Lévy processes
• Analysis of a drawdown-based regime-switching Lévy insurance model
• The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
• Geometrically convergent simulation of the extrema of Lévy processes
• The Parisian and ultimate drawdowns of Lévy insurance models
• Pricing American drawdown options under Markov models
• On the drawdowns and drawups in diffusion-type models with running maxima and minima
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• On some functionals of the first passage times in jump models of stochastic volatility
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• On the maximum increase and decrease of one-dimensional diffusions
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• Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
• Markov chain approximations to scale functions of Lévy processes
• On magnitude, asymptotics and duration of drawdowns for Lévy models

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