Search Results - subject:"excursion theory"

An excursion theoretic approach to Parisian ruin problem

Li, Bo; Zhou, Xiaowen - In: Insurance : mathematics and economics 118 (2024), pp. 44-58

Persistent link: https://www.econbiz.de/10015066997

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process

Budhi Arta Surya; Wang, Wenyuan; Zhao, Xianghua; Zhou, … - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 97-122

Persistent link: https://www.econbiz.de/10014325014

Mixed periodic-classical barrier strategies for Lévy risk processes

Pérez, José-Luis; Yamazaki, Kazutoshi - In: Risks 6 (2018) 2, pp. 1-39

with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation …

Persistent link: https://www.econbiz.de/10011996591

Mixed periodic-classical barrier strategies for Lévy risk processes

Pérez, José-Luis; Yamazaki, Kazutoshi - In: Risks : open access journal 6 (2018) 2, pp. 1-39

with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation …

Persistent link: https://www.econbiz.de/10011866334

Generalized expected discounted penalty function at general drawdown for Lévy risk processes

Wang, Wenyuan; Chen, Ping; Li, Shuanming - In: Insurance / Mathematics & economics 91 (2020), pp. 12-25

Persistent link: https://www.econbiz.de/10012241972

A direct solution method for pricing options involving the maximum process

Egami, Masahiko; Oryu, Tadao - In: Finance and stochastics 21 (2017) 4, pp. 967-993

Persistent link: https://www.econbiz.de/10011944460

An excursion-theoretic approach to regulator's bank reorganization problem

Egami, Masahiko; Oryu, Tadao - In: Operations research 63 (2015) 3, pp. 527-539

Persistent link: https://www.econbiz.de/10011292279

On the drawdown of completely asymmetric Lévy processes

Mijatović, Aleksandar; Pistorius, Martijn R. - In: Stochastic Processes and their Applications 122 (2012) 11, pp. 3812-3836

The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its running supremum X¯: Y=X¯−X. In this paper we explicitly express in terms of the scale function and the Lévy measure of X the law of the sextuple of the first-passage time of Y over the level...

Persistent link: https://www.econbiz.de/10011065025

A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time

Forde, Martin - In: Stochastic Processes and their Applications 121 (2011) 12, pp. 2802-2817

≤tXs. Using the excursion theory, we then solve explicitly the following problem: for a natural class of joint density functions μ …) [21] using the excursion theory. This complements the recent work of Carr (2009) [5] and Cox et al. (2010) [7], who consider a …

Persistent link: https://www.econbiz.de/10011065018