3 papers
q-fin.RM2019
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…
math.PR2018
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…
q-fin.MF2017
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…