On future drawdowns of Lévy processes
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DOI: 10.1016/j.spa.2016.12.008
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Cited by:
- Jorge González Cázares & Aleksandar Mijatović, 2022. "Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation," Finance and Stochastics, Springer, vol. 26(4), pages 671-732, October.
- David Landriault & Bin Li & Mohamed Amine Lkabous, 2019. "On occupation times in the red of L\'evy risk models," Papers 1903.03721, arXiv.org, revised Jul 2019.
- Ceren Vardar-Acar & Mine Çağlar & Florin Avram, 2021. "Maximum Drawdown and Drawdown Duration of Spectrally Negative Lévy Processes Decomposed at Extremes," Journal of Theoretical Probability, Springer, vol. 34(3), pages 1486-1505, September.
- Long Bai & Peng Liu, 2019. "Drawdown and Drawup for Fractional Brownian Motion with Trend," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1581-1612, September.
- 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.
- Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2020. "On occupation times in the red of Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 17-26.
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Keywords
Reflected process; Lévy process; Drawdown process; Cramér-asymptotics; Heavy-tailed distributions; Queueing; Workload process;All these keywords.
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