{"id":{"repo_id":"uwo","oai_identifier":"oai:uwo.scholaris.ca:20.500.14721/30546"},"canonical_url":"https://search.dev.ndltd.org/etd/uwo/oai:uwo.scholaris.ca:20.500.14721/30546","repository":{"repo_id":"uwo","name":"Western University","base_url":"https://uwo.scholaris.ca/server/oai/request"},"display":{"title":"Some Insurance Options on Stochastic Drawdowns","abstract":"Insurance and options have been often used by investors to protect themselves from market crashes and significant financial losses. Thanks to its desired features, drawdowns can be a very useful tool in the marketplace, allowing investors to protect against the downside risks which commonly occur in the marketplace. Several insurance products are proposed via including protection against drawdown sizes, speed of market crash and frequency of drawdowns. We also design a knock-in drawdown option with generalized payoffs. In this thesis, we explore the probabilistic approach to drawdowns and use the technique of Laplace transform to find the fair market price of the designed insurances/options. Their connections with the existing models are discussed, and numerical results are then demonstrated as well as the sensitivity tests.","abstract_html":"Insurance and options have been often used by investors to protect themselves from market crashes and significant financial losses. Thanks to its desired features, drawdowns can be a very useful tool in the marketplace, allowing investors to protect against the downside risks which commonly occur in the marketplace. Several insurance products are proposed via including protection against drawdown sizes, speed of market crash and frequency of drawdowns. We also design a knock-in drawdown option with generalized payoffs. In this thesis, we explore the probabilistic approach to drawdowns and use the technique of Laplace transform to find the fair market price of the designed insurances/options. Their connections with the existing models are discussed, and numerical results are then demonstrated as well as the sensitivity tests.","abstract_has_math":false,"creators":["Dikic, Filip"],"institution":"The University of Western Ontario","degree_name":"M Sc","degree_level":null,"degree_discipline":"Statistics and Actuarial Sciences","degree_department":null,"school":null,"contributors":[],"advisors":["Li, Shu"],"committee_chairs":[],"committee_members":[],"year":2020,"date_issued":"2020-09-29","date_published":"2020-09-29","updated_at":"2026-07-27T21:56:16Z","subjects":["Drawdown process","Laplace transform","Brownian motion","Spectrally negative Levy process","Scale function","Valuation"],"languages":["en_ca"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://hdl.handle.net/20.500.14721/30546","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Li, Shu"]},{"key":"dc:creator","label":"Author","values":["Dikic, Filip"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2025-07-10T18:42:08Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2025-07-10T18:42:08Z"]},{"key":"dc:date.issued","label":"Date","values":["2020-09-29"]},{"key":"dc:publisher","label":"Institution","values":["The University of Western Ontario"]},{"key":"dc:type","label":"Dc Type","values":["thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Statistics and Actuarial Sciences"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M Sc"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Drawdown process","Laplace transform","Brownian motion","Spectrally negative Levy process","Scale function","Valuation"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["en_ca"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://hdl.handle.net/20.500.14721/30546"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["The thesis cover page in the PDF document includes references to Western University’s previous institutional repository platform, known as Scholarship@Western, and links to that platform (beginning with ir.lib.uwo.ca). In citing or referring to this thesis, use the DOI or handle from this page instead. Sample citation: Author name, \"Thesis title.\" (Year). Western University Open Repository. https://doi.org/10.71858/123456."]},{"key":"dc:description.abstract","label":"Abstract","values":["Insurance and options have been often used by investors to protect themselves from market crashes and significant financial losses. Thanks to its desired features, drawdowns can be a very useful tool in the marketplace, allowing investors to protect against the downside risks which commonly occur in the marketplace. Several insurance products are proposed via including protection against drawdown sizes, speed of market crash and frequency of drawdowns. We also design a knock-in drawdown option with generalized payoffs. In this thesis, we explore the probabilistic approach to drawdowns and use the technique of Laplace transform to find the fair market price of the designed insurances/options. 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Western University Open Repository. https://doi.org/10.71858/123456."],"dc:description.abstract":["Insurance and options have been often used by investors to protect themselves from market crashes and significant financial losses. Thanks to its desired features, drawdowns can be a very useful tool in the marketplace, allowing investors to protect against the downside risks which commonly occur in the marketplace. Several insurance products are proposed via including protection against drawdown sizes, speed of market crash and frequency of drawdowns. We also design a knock-in drawdown option with generalized payoffs. In this thesis, we explore the probabilistic approach to drawdowns and use the technique of Laplace transform to find the fair market price of the designed insurances/options. 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