Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
DOI10.1016/j.insmatheco.2017.12.008zbMath1401.91158OpenAlexW2777327053MaRDI QIDQ1742717
Bin Li, David Landriault, Shu Li
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10012/13049
Brownian motionstime-homogeneous Markov processesdrawdown-based regime-switching modelpotential measuresstate-dependent termination
Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Refracted Lévy processes
- Formulas for stopped diffusion processes with stopping times based on the maximum
- Stochastic modeling and fair valuation of drawdown insurance
- Analysis of a drawdown-based regime-switching Lévy insurance model
- Fluctuations of Lévy processes with applications. Introductory lectures
- On the optimal dividend problem for a spectrally negative Lévy process
- Long-Term Optimal Investment with a Generalized Drawdown Constraint
- The Theory of Scale Functions for Spectrally Negative Lévy Processes
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
- On the Frequency of Drawdowns for Brownian Motion Processes
- On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints
This page was built for publication: Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
