Browsing Waterloo Research by Subject "Brownian motions"
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Expected utility of the drawdown-based regime-switching risk model with state-dependent termination (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 ...