On the analysis of deep drawdowns for the Lévy insurance risk model
研究了Lévy保险风险模型中深度回撤的幅度和持续时间，通过刻画相关停时的拉普拉斯变换，提出了一种统一处理有界和无界变差路径的方法，并推广了已有结果。
In this paper, we study the magnitude and the duration of deep drawdowns for the Lévy insurance risk model through the characterization of the Laplace transform of a related stopping time. Relying on a temporal approximation approach (e.g., Li et al. (2018) ), the proposed methodology allows for a unified treatment of processes with bounded and unbounded variation paths whereas these two cases used to be treated separately. In particular, we extend the results of Landriault et al. (2017) and Surya (2019) . We later analyze certain limiting cases of our main results where consistency with some known drawdown results in the literature will be shown.