On the analysis of deep drawdowns for the Lévy insurance risk model

David Landriault, Bin Li and Mohamed Amine Lkabous

Insurance: Mathematics and Economics, 2021, vol. 100, issue C, 147-155

Abstract: In this paper, we study the magnitude and the duration of deep drawdowns for the Lévy insurance risk model through the characterization of the Laplace transform of a related stopping time. Relying on a temporal approximation approach (e.g., Li et al. (2018)), the proposed methodology allows for a unified treatment of processes with bounded and unbounded variation paths whereas these two cases used to be treated separately. In particular, we extend the results of Landriault et al. (2017) and Surya (2019). We later analyze certain limiting cases of our main results where consistency with some known drawdown results in the literature will be shown.

Keywords: Drawdown process; Drawdown duration; Lévy insurance risk processes; Drawdown magnitude; Scale functions (search for similar items in EconPapers)
JEL-codes: D22 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668721000871
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:100:y:2021:i:c:p:147-155

DOI: 10.1016/j.insmatheco.2021.05.004

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().