Browsing Mathematics (Faculty of) by Author "Li, Shu"
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Adaptive policies and drawdown problems in insurance risk models
Li, Shu (University of Waterloo, 2015-08-31)Ruin theory studies an insurer's solvency risk, and to quantify such a risk, a stochastic process is used to model the insurer's surplus process. In fact, research on ruin theory dates back to the pioneer works of Lundberg ... -
Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
Landriault, David; Li, Bin; Li, Shu (Elsevier, 2018-03-01)In this paper, we model an entity’s surplus process X using the drawdown-based regime-switching (DBRS) dynamics proposed in Landriault et al. (2015a). We introduce the state-dependent termination time to the model, and ...