Pricing insurance drawdown-type contracts with underlying Lévy assets
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Publication:1742698
DOI10.1016/j.insmatheco.2017.12.007zbMath1400.91251arXiv1701.01891OpenAlexW2963863761MaRDI QIDQ1742698
Zbigniew Palmowski, Joanna Tumilewicz
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.01891
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Related Items (5)
DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ On the analysis of deep drawdowns for the Lévy insurance risk model ⋮ 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
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