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On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk - MaRDI portal

On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk (Q2389601)

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On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
scientific article

    Statements

    title
    On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk (English)
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    author
    Isaac Meilijson
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    publication date
    17 July 2009
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    zbMATH Keywords
    Calmar ratio
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    Crámer-Lundberg
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    drawdown
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    random walk
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    Skorokhod embeddings
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    Identifiers

    DOI
    10.1214/08-AAP567
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    Mathematics Subject Classification ID
    60G50
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    60G44
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    91B30
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    zbMATH DE Number
    5580231
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    arXiv ID
    0807.3506
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