15 citations · 25 across the 19 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2020
Parisian excursion with capital injection for draw-down reflected Levy insurance risk process
Budhi Surya, Wenyuan Wang, Xianghua Zhao +1
This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when i…
q-fin.MF2019
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Zbigniew Palmowski, Budhi Surya
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, als…