Drawdown analysis for the renewal insurance risk process

DOI10.1080/03461238.2015.1123174zbMATH Open1401.91159OpenAlexW2298876183MaRDI QIDQ4575464FDOQ4575464

Authors: David Landriault, Bin Li, Shu Li 

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1123174

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zbMATH Keywords

ruin probabilitydrawdowntwo-sided exit problemconstant dividend barrier strategyfluid flow techniquerenewal insurance risk process

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

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Cited In (6)

• Exit problems for general draw-down times of spectrally negative Lévy processes
• The Parisian and ultimate drawdowns of Lévy insurance models
• A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
• Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• Maximum surplus and \(R_n\) class of distributions with an application to dividends

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