MAXIMUM DRAWDOWN INSURANCE

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On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models (2015, background): “[5] designed some European-style digital drawdown insurance contracts and proposed semi-static hedging strategies using barrier options and vanilla options.”
ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “Our formalization of drawdown risk is achieved by modeling the uncertain payoff along a finite path as a time-ordered random vector XTn = (Xt1 , . . . , Xtn) representing return paths, to which a certain real-valued functional, the Conditional Expected Drawdown, is applied.”
Drawdowns and the Speed of Market Crash (2012, methodology): “It is for this reason that drawdown processes have also been used as constraints in portfolio optimization (see, for example, Grossman and Zhou 1993, Cvitanic and Karatzas 1995, Chekhlov et al. 2005). Due to their dynamic and path-dependent nature, they can also be used as a way to describe market c”