On the adjustment coefficient, drawdowns and lundberg-type bounds for random walk

Annals of Applied Probability

Volumn 19, Issue 3, 2009, Pages 1015-1025

  Meilijson, Isaac ^a  

^a TEL AVIV UNIVERSITY   (Israel)

Author keywords

Calmar ratio; Cr mer lundberg; Drawdown; Random walk; Skorokhod embeddings

Indexed keywords

EID: 69149091186     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/08-AAP567     Document Type: Article

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