Generalized expected discounted penalty function at general drawdown for Lévy risk processes
Wenyuan Wang, Ping Chen, Shuanming Li
| Year of publication: |
2020
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|---|---|
| Authors: | Wang, Wenyuan ; Chen, Ping ; Li, Shuanming |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 91.2020, p. 12-25
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| Subject: | Excursion theory | General drawdown time | Generalized expected discounted penalty function | Scale function | Spectrally negative Lévy process | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012241972