56 citations · 103 across the 4 of their papers we have counts for
5 papers
On occupation times in the red of Lévy risk models
David Landriault, Bin Li, Mohamed Amine Lkabous
In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level ) up to an (independent) exponential horizon for spectrally ne…
General drawdown of general tax model in a time-homogeneous Markov framework
Florin Avram, Bin Li, Shu Li
Drawdown/regret times feature prominently in optimal stopping problems, in statistics (CUSUM procedure) and in mathematical finance (Russian options). Recently it was discovered th…
A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
David Landriault, Bin Li, Hongzhong Zhang
Drawdown (resp. drawup) of a stochastic process, also referred as the reflected process at its supremum (resp. infimum), has wide applications in many areas including financial ris…
On magnitude, asymptotics and duration of drawdowns for Lévy models
David Landriault, Bin Li, Hongzhong Zhang
This paper considers magnitude, asymptotics and duration of drawdowns for some Lévy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally…
On the Frequency of Drawdowns for Brownian Motion Processes
David Landriault, Bin Li, Hongzhong Zhang
Drawdowns measuring the decline in value from the historical running maxima over a given period of time, are considered as extremal events from the standpoint of risk management. T…