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Stochastic Modeling and Fair Valuation of Drawdown Insurance

Citations

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Cited by:

  1. Pingping Zeng & Gongqiu Zhang & Weinan Zhang, 2025. "Drawdowns, Drawups, and Occupation Times under General Markov Models," Papers 2506.00552, arXiv.org.
  2. Palmowski, Zbigniew & Tumilewicz, Joanna, 2018. "Pricing insurance drawdown-type contracts with underlying Lévy assets," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 1-14.
  3. Zbigniew Palmowski & Joanna Tumilewicz, 2018. "Drawdown insurance contracts for the Lévy-type model with the phase-type jump distribution and general reward function," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 255-270.
  4. David Landriault & Bin Li & Hongzhong Zhang, 2017. "A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes," Papers 1702.07786, arXiv.org.
  5. Baurdoux, Erik J. & Palmowski, Z & Pistorius, Martijn R, 2017. "On future drawdowns of Lévy processes," LSE Research Online Documents on Economics 84342, London School of Economics and Political Science, LSE Library.
  6. Syu, Jia-Hao & Lyuu, Yuh-Dauh, 2026. "Trapezoid and trapezoidal prism for the maximum relative drawdown: Probability, crash options pricing, and risk," Applied Mathematics and Computation, Elsevier, vol. 510(C).
  7. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078.
  8. Landriault, David & Li, Bin & Li, Shu, 2018. "Expected utility of the drawdown-based regime-switching risk model with state-dependent termination," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 137-147.
  9. Zhang, Gongqiu & Li, Lingfei, 2023. "A general method for analysis and valuation of drawdown risk," Journal of Economic Dynamics and Control, Elsevier, vol. 152(C).
  10. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
  11. Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions," Papers 1712.04418, arXiv.org, revised Feb 2018.
  12. Zbigniew Palmowski & Pawe{l} Stc{e}pniak, 2025. "Pricing American Options Time-Capped by a Drawdown Event," Papers 2509.00999, arXiv.org.
  13. Li, Shu & Zhou, Xiaowen, 2022. "The Parisian and ultimate drawdowns of Lévy insurance models," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 140-160.
  14. Zhang, Xiang & Li, Lingfei & Zhang, Gongqiu, 2021. "Pricing American drawdown options under Markov models," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1188-1205.
  15. 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.
  16. Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Pricing insurance drawdown-type contracts with underlying L\'evy assets," Papers 1701.01891, arXiv.org, revised Oct 2017.
  17. Zbigniew Palmowski & Paweł Stȩpniak, 2026. "Pricing American options time-capped by a drawdown event," Mathematics and Financial Economics, Springer, volume 20, number 5, December.
  18. Baurdoux, E.J. & Palmowski, Z. & Pistorius, M.R., 2017. "On future drawdowns of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2679-2698.
  19. Zbigniew Palmowski & Budhi Surya, 2019. "Optimal valuation of American callable credit default swaps under drawdown of L\'evy insurance risk process," Papers 1904.10063, arXiv.org, revised Apr 2020.
  20. David Landriault & Bin Li & Hongzhong Zhang, 2014. "On the Frequency of Drawdowns for Brownian Motion Processes," Papers 1403.1183, arXiv.org.
  21. Landriault, David & Li, Bin & Li, Shu, 2015. "Analysis of a drawdown-based regime-switching Lévy insurance model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 98-107.
  22. Damiano Rossello & Silvestro Lo Cascio, 2021. "A refined measure of conditional maximum drawdown," Risk Management, Palgrave Macmillan, vol. 23(4), pages 301-321, December.
  23. Zbigniew Palmowski & Pawe{l} Stc{e}pniak, 2025. "Pricing American options time-capped by a drawdown event in a L\'evy market," Papers 2508.20677, arXiv.org, revised Aug 2025.
  24. Palmowski, Z. & Surya, B.A., 2020. "Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 168-177.
  25. Pawe{l} Stc{e}pniak & Zbigniew Palmowski, 2025. "Pricing time-capped American options using Least Squares Monte Carlo method," Papers 2503.01040, arXiv.org.
  26. Landriault, David & Li, Bin & Wong, Jeff T.Y. & Xu, Di, 2018. "Poissonian potential measures for Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 152-166.
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