Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
David Landriault, Bin Li, Shu Li
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Landriault, David ; Li, Bin ; Li, Shu |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 79.2018, p. 137-147
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| Subject: | Drawdown-based regime-switching model | State-dependent termination | Potential measures | Brownian motions | Time-homogeneous Markov processes | Markov-Kette | Markov chain | Theorie | Theory | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.12.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011825424