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

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  • Landriault, David
  • Li, Bin
  • Lkabous, Mohamed Amine

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.

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  • Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2021. "On the analysis of deep drawdowns for the Lévy insurance risk model," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 147-155.
    • Handle: RePEc:eee:insuma:v:100:y:2021:i:c:p:147-155
    DOI: 10.1016/j.insmatheco.2021.05.004
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    References listed on IDEAS

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    More about this item

    Keywords

    Drawdown process; Drawdown duration; Lévy insurance risk processes; Drawdown magnitude; Scale functions;
    All these keywords.

    JEL classification:

    • D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis

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