Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Year of publication: |
2023
|
---|---|
Authors: | Budhi Arta Surya ; Wang, Wenyuan ; Zhao, Xianghua ; Zhou, Xiaowen |
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 |
-
Discounted penalty function at Parisian ruin for Lévy insurance risk process
Loeffen, R., (2018)
-
Mixed periodic-classical barrier strategies for Lévy risk processes
Pérez, José-Luis, (2018)
-
Parisian ruin for a refracted Lévy process
Lkabous, Mohamed Amine, (2017)
- More ...
-
Potential densities for taxed spectrally negative Lévy risk processes
Wang, Wenyuan, (2019)
-
Potential densities for taxed spectrally negative Lévy risk processes
Wang, Wenyuan, (2019)
-
Optimal portfolio selection based on expected shortfall under Generalized Hyperbolic distribution
Budhi Arta Surya, (2014)
- More ...