Drawdown analysis for the renewal insurance risk process

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Cites work

scientific article; zbMATH DE number 3901778 (Why is no real title available?)
scientific article; zbMATH DE number 1249326 (Why is no real title available?)
scientific article; zbMATH DE number 852301 (Why is no real title available?)
A stopped Brownian motion formula
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Quickest Detection
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Cited in

(9)

General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
Analysis of a drawdown-based regime-switching Lévy insurance model
Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes
The Parisian and ultimate drawdowns of Lévy insurance models
On the frequency of drawdowns for Brownian motion processes
Maximum surplus and \(R_n\) class of distributions with an application to dividends
Exit problems for general draw-down times of spectrally negative Lévy processes

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