On the analysis of deep drawdowns for the Lévy insurance risk model

DOI10.1016/j.insmatheco.2021.05.004zbMath1478.91165OpenAlexW3165417103MaRDI QIDQ2234758

Mohamed Amine Lkabous, David Landriault, Bin Li

Publication date: 19 October 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/451055/2/LLL_12_05_2021.pdf

zbMATH Keywords

Lévy insurance risk processesscale functionsdrawdown durationdrawdown magnitudedrawdown process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

Related Items (1)

Bridging the first and last passage times for Lévy models

Cites Work

• Unnamed Item
• Exit identities for Lévy processes observed at Poisson arrival times
• On the drawdown of completely asymmetric Lévy processes
• On magnitude, asymptotics and duration of drawdowns for Lévy models
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• Occupation times of spectrally negative Lévy processes with applications
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• On minimizing drawdown risks of lifetime investments
• A stopped Brownian motion formula
• Formulas for stopped diffusion processes with stopping times based on the maximum
• The Russian option: Reduced regret
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Discounted penalty function at Parisian ruin for Lévy insurance risk process
• Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
• Pricing insurance drawdown-type contracts with underlying Lévy assets
• Parisian ruin probability for spectrally negative Lévy processes
• Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• On future drawdowns of Lévy processes
• Fluctuations of Lévy processes with applications. Introductory lectures
• Parisian ruin for a refracted Lévy process
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Portfolio sensitivity to changes in the maximum and the maximum drawdown
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• A temporal approach to the Parisian risk model

This page was built for publication: On the analysis of deep drawdowns for the Lévy insurance risk model