The drawdown in the price of an asset shows how much the price falls relative to its
historical maximum. This paper considers the pricing problem of perpetual American style …

We propose an efficient computational method based on continuous-time Markov chain
(CTMC) approximation to compute the distributions of the speed and duration of drawdown …

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 …

In this paper we consider a spectrally negative Lévy risk model with tax. With the ruin time
replaced by a draw-down time with a linear draw-down function and for a constant tax rate …

In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive
premium rate, namely a refracted Lévy process. Our main contribution is a generalization of …

In this paper, we address the problem of optimal dividend payout strategies from a surplus
process governed by Brownian motion with drift under a drawdown constraint, ie, the …

This paper considers an insurance surplus process modeled by a spectrally negative Lévy
process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown …

Drawdown (respectively, drawup) of a stochastic process, also referred as the reflected
process at its supremum (respectively, infimum), has wide applications in many areas …

For spectrally negative Lévy processes, we prove several fluctuation results involving a
general draw-down time, which is a downward exit time from a dynamic level that depends …

We study the optimal stopping of an American call option in a random time-horizon under
exponential spectrally negative Lévy models. The random time-horizon is modeled as the so …