2 papers
q-fin.RM2020
Risk Modelling on Liquidations with Lévy Processes
Aili Zhang, Ping Chen, Shuanming Li +1
It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, howev…
q-fin.PR2019
Generalized Expected Discounted Penalty Function at General Drawdown for Lévy Risk Processes
Wenyuan Wang, Ping Chen, Shuanming Li
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 drawdo…