Zhang, Hongzhong; Leung, Tim; Hadjiliadis, Olympia - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 840-850
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance...