MAP20150006318Landriault, DavidAnalysis of a drawdown-based regime-switching Lévy insurance model / David Landriault, Bin Li, Shu LiSumario: In this paper, we propose a new drawdown-based regime-switching (DBRS) Lévy insurance model in which the underlying drawdown process is used to model an insurer¿s level of financial distress over time, and to trigger regime-switching transitions. By some analytical arguments, we derive explicit formulas for a generalized two-sided exit problem. We specifically state conditions under which the survival probability is not trivially zero (which corresponds to the positive security loading conditions of the proposed model). The regime-dependent occupation time until ruin is later studied. As a special case of the general DBRS model, a regime-switching premium model is given further consideration. Connections with other existing risk models (such as the loss-carry-forward tax model of Albrecher and Hipp, 2007) are establishedEn: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 12/01/2015 Volumen 60 Número - enero 2015 I. Título.
