Some Insurance Options on Stochastic Drawdowns

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.

Name thesis:degree_name

M Sc

Discipline thesis:degree_discipline

Statistics and Actuarial Sciences

Grantor dc:publisher

The University of Western Ontario

Year dc:date.issued

2020

Author dc:creator

• Dikic, Filip

Advisor dc:contributor.advisor

• Li, Shu

• Drawdown process
• Laplace transform
• Brownian motion
• Spectrally negative Levy process
• Scale function
• Valuation

Language dc:language.iso

en_ca

Handle dc:identifier.uri

https://hdl.handle.net/20.500.14721/30546

OAI identifier oai:identifier

oai:uwo.scholaris.ca:20.500.14721/30546