Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Budhi Surya, Wenyuan Wang, Xianghua Zhao and Xiaowen Zhou
| Year of publication: |
2023
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|---|---|
| Authors: | Budhi Arta Surya ; Wang, Wenyuan ; Zhao, Xianghua ; Zhou, Xiaowen |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2023.2023, 2, p. 97-122
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| Subject: | 60J35 | capital injection | drawdown time | excursion theory | Parisian ruin | potential measure | Primary: 60G51 | reflected process | risk process | Secondary: 60E10 | Spectrally negative Lévy process | Stochastischer Prozess | Stochastic process | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomodell | Risk model | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2022.2086063 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014325014