Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be solved numerically by three essentially different methods. One is based on a modified Bellman equation and the policy improvement method (see Hipp (2003)). In this paper we use...

This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance...