Analysis of a drawdown-based regime-switching Lévy insurance model
David Landriault; Bin Li; Shu Li
| Year of publication: |
2015
|
|---|---|
| Authors: | Landriault, David ; Li, Bin ; Li, Shu |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 60.2015, p. 98-107
|
| Subject: | Drawdown | Exit time | Two-sided exit problem | Lévy process | Occupation time | Premium change | Regime-switching | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010484823