英文标题：
《Stochastic Modeling and Fair Valuation of Drawdown Insurance》
---
作者：
Hongzhong Zhang, Tim Leung, Olympia Hadjiliadis
---
最新提交年份：
2013
---
英文摘要：
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance contract whereby the protection buyer pays a constant premium over time to insure against a drawdown of a pre-specified level. This leads to the analysis of the conditional Laplace transform of the drawdown time, which will serve as the building block for drawdown insurance with early cancellation or drawup contingency. For the cancellable drawdown insurance, we derive the investor\'s optimal cancellation timing in terms of a two-sided first passage time of the underlying drawdown process. Our model can also be applied to insure against a drawdown by a defaultable stock. We provide analytic formulas for the fair premium and illustrate the impact of default risk.
---
中文摘要：
本文研究了市场支取事件的随机建模和基于支取的保险合同公允价值评估。我们将资产提取过程建模为当前与资产价值历史最大值的相对距离。我们首先考虑一个普通的保险合同，根据该合同，受保护的买方在一段时间内支付固定的保险费，以针对预先指定水平的提取进行保险。这导致了对提款时间的条件拉普拉斯变换的分析，该变换将作为提前取消或提款应急的提款保险的构建块。对于可取消的提款保险，我们根据基础提款过程的双边首次通过时间推导出投资者的最佳取消时间。我们的模型也可用于防止可违约股票的提款。我们提供了公平溢价的分析公式，并说明了违约风险的影响。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->