{"paper":{"title":"Fair valuation of L\\'evy-type drawdown-drawup contracts with general insured and penalty functions","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"q-fin.PR","authors_text":"Joanna Tumilewicz, Zbigniew Palmowski","submitted_at":"2017-12-12T18:20:07Z","abstract_excerpt":"In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative L\\'evy process. Drawdown and drawup refer to the differences between the historical maximum and minimum of the asset price and its current value, respectively. We consider four contracts. In the first contract, a protection buyer pays a premium with a constant intensity $p$ until the drawdown of fixed size occurs. In return, he/she receives a certain insured amount at the drawdown epoch, which depends on the drawdown level at that mom"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1712.04418","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}