On the analysis of deep drawdowns for the Lévy insurance risk model
Year of publication: |
2021
|
---|---|
Authors: | Landriault, David ; Li, Bin ; Lkabous, Mohamed Amine |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 100.2021, p. 147-155
|
Subject: | Drawdown duration | Drawdown magnitude | Drawdown process | Lévy insurance risk processes | Scale functions | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model | Portfolio-Management | Portfolio selection | Finanzmathematik | Mathematical finance |
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