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  • Search: subject:"Drawdown-based regime-switching model"
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Brownian motions 1 Drawdown-based regime-switching model 1 Erwartungsnutzen 1 Expected utility 1 Markov chain 1 Markov-Kette 1 Potential measures 1 Risiko 1 Risk 1 State-dependent termination 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time-homogeneous Markov processes 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Landriault, David 1 Li, Bin 1 Li, Shu 1
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Insurance / Mathematics & economics 1
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Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
Landriault, David; Li, Bin; Li, Shu - In: Insurance / Mathematics & economics 79 (2018), pp. 137-147
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