Analysis of a drawdown-based regime-switching Lévy insurance model

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<dc:creator>Landriault, David</dc:creator>
<dc:date>2015-01-12</dc:date>
<dc:description xml:lang="es">Sumario: 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 established</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/151191.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Analysis of a drawdown-based regime-switching Lévy insurance model</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 12/01/2015 Volumen 60 Número  - enero 2015 </dc:relation>
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