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Search: subject:"Two-sided exit problem"
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Drawdown
3
Two-sided exit problem
3
Exit time
2
Lévy process
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Premium change
2
Regime-switching
2
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Stochastischer Prozess
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Lévy-driven Ornstein-Uhlenbeck process
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Markov chain
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Markov-Kette
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Mathematical finance
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Mean Reversion
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Optimal thresholds
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Option pricing theory
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Optionspreistheorie
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Pairs trading
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Portfolio selection
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Portfolio-Management
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Risiko
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Risikomanagement
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Risikomodell
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Risk
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Risk management
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Versicherung
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constant dividend barrier strategy
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fluid flow technique
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renewal insurance risk process
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ruin probability
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two-sided exit problem
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English
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Landriault, David
3
Li, Bin
3
Li, Shu
3
Wu, Lan
1
Zang, Xin
1
Zhao, Hongxin
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Insurance / Mathematics & economics
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Insurance: Mathematics and Economics
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Quantitative finance
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Scandinavian actuarial journal
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ECONIS (ZBW)
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Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
Wu, Lan
;
Zang, Xin
;
Zhao, Hongxin
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1285-1306
Persistent link: https://www.econbiz.de/10012262663
Saved in:
2
Drawdown analysis for the renewal insurance risk process
Landriault, David
;
Li, Bin
;
Li, Shu
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 267-285
Persistent link: https://www.econbiz.de/10011772133
Saved in:
3
Analysis of a drawdown-based regime-switching Lévy insurance model
Landriault, David
;
Li, Bin
;
Li, Shu
- In:
Insurance: Mathematics and Economics
60
(
2015
)
C
,
pp. 98-107
-switching transitions. By some analytical arguments, we derive explicit formulas for a generalized
two-sided
exit
problem
. We specifically …
Persistent link: https://www.econbiz.de/10011190004
Saved in:
4
Analysis of a drawdown-based regime-switching Lévy insurance model
Landriault, David
;
Li, Bin
;
Li, Shu
- In:
Insurance / Mathematics & economics
60
(
2015
),
pp. 98-107
Persistent link: https://www.econbiz.de/10010484823
Saved in:
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