Drawdown analysis for the renewal insurance risk process

DOI10.1080/03461238.2015.1123174zbMath1401.91159OpenAlexW2298876183MaRDI QIDQ4575464

David Landriault, Shu Li, Bin 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

zbMATH Keywords

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

Mathematics Subject Classification ID

Related Items (6)

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

Cites Work

• Gerber-Shiu risk theory
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• On the drawdown of completely asymmetric Lévy processes
• Occupation times of spectrally negative Lévy processes with applications
• Passage times in fluid models with application to risk processes
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• 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
• Stochastic modeling and fair valuation of drawdown insurance
• Analysis of a drawdown-based regime-switching Lévy insurance model
• The time to ruin and the number of claims until ruin for phase-type claims
• On a class of renewal risk models with a constant dividend barrier
• Russian and American put options under exponential phase-type Lévy models.
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Exit Problems for Reflected Markov-Modulated Brownian Motion
• MAXIMUM DRAWDOWN INSURANCE
• Distributional Properties of CUSUM Stopping Times
• Quickest Detection
• On the analysis of a multi-threshold Markovian risk model
• Stationary distributions for fluid flow models with or without brownian noise
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• On the maximum drawdown of a Brownian motion
• Strategies for Dividend Distribution: A Review
• On the Frequency of Drawdowns for Brownian Motion Processes
• The Joint Laplace Transforms for Diffusion Occupation Times
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• The Time Value of Ruin in a Sparre Andersen Model
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Drawdown analysis for the renewal insurance risk process