Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
type: Item
instance of: scholarly article
title: Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
zbMATH Open document ID: 1401.91158
author: David Landriault
author: Bin Li
author: Shu Li
published in: Insurance Mathematics \& Economics
publication date: 2018-04-12T00:00:00Z
full work available at URL: http://hdl.handle.net/10012/13049
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6858910
zbMATH Keywords: drawdown-based regime-switching model
zbMATH Keywords: state-dependent termination
zbMATH Keywords: potential measures
zbMATH Keywords: Brownian motions
zbMATH Keywords: time-homogeneous Markov processes
MaRDI profile type: Publication
OpenAlex ID: W2777327053
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DOI: 10.1016/J.INSMATHECO.2017.12.008
description: scientific article; zbMATH DE number 6858910