Brinker, Leonie Violetta - In: Risks : open access journal 9 (2021) 1/17, pp. 1-18
independent of the surplus. Our key variable is the (absolute) drawdown Δ of the surplus X, defined as the distance to its running … problem of minimising the expected time that the drawdown is larger than a positive critical value (weighted by a discounting … piecewise monotone and continuously differentiable function of the current drawdown. Several numerical examples illustrate our …