56 citations · 102 across the 5 of their papers we have counts for
6 papers
Contract Structure and Risk Aversion in Longevity Risk Transfers
David Landriault, Bin Li, Hong Li +1
This paper introduces an economic framework to assess optimal longevity risk transfers between institutions, focusing on the interactions between a buyer exposed to long-term longe…
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…
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…
Occupation times of spectrally negative Lévy processes with applications
David Landriault, Jean-François Renaud, Xiaowen Zhou
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results f…