Browsing Waterloo Research by Subject "Potential measures"
Now showing items 1-2 of 2
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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 ... -
Poissonian potential measures for Lévy risk models
(Elsevier, 2018-09-01)This paper studies the potential (or resolvent) measures of spectrally negative Lévy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent ...