On the drawdown of completely asymmetric Lévy processes

DOI10.1016/j.spa.2012.06.012zbMath1252.60046arXiv1103.1460OpenAlexW2073465431MaRDI QIDQ454869

Martijn R. Pistorius, Aleksandar Mijatović

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

excursion theory fluctuation theory reflected process drawdown sextuple law spectrally one-sided Lévy process

Mathematics Subject Classification ID

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

Related Items

On future drawdowns of Lévy processes ⋮ Perpetual American options in diffusion-type models with running maxima and drawdowns ⋮ Variational formulas for the exit time of hunt processes generated by semi-Dirichlet forms ⋮ The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ Maximum loss and maximum gain of spectrally negative Lévy processes ⋮ Drawdown: from practice to theory and back again ⋮ On the drawdowns and drawups in diffusion-type models with running maxima and minima ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ A general method for analysis and valuation of drawdown risk ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ On the maximum increase and decrease of one-dimensional diffusions ⋮ On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory ⋮ Magnitude and speed of consecutive market crashes in a diffusion model ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Markov chain approximations to scale functions of Lévy processes ⋮ On the analysis of deep drawdowns for the Lévy insurance risk model ⋮ Pricing insurance drawdown-type contracts with underlying Lévy assets ⋮ 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 ⋮ Time since maximum of Brownian motion and asymmetric Lévy processes ⋮ Pricing American drawdown options under Markov models ⋮ On some functionals of the first passage times in jump models of stochastic volatility ⋮ Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes ⋮ On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models ⋮ Exit problems for general draw-down times of spectrally negative Lévy processes ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions ⋮ Exit problems for positive self-similar Markov processes with one-sided jumps ⋮ General drawdown of general tax model in a time-homogeneous Markov framework ⋮ Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes

Cites Work