  Drawdowns measuring the decline in value from the historical running maxima
over a given period of time, are considered as extremal events from the
standpoint of risk management. To date, research on the topic has mainly focus
on the side of severity by studying the first drawdown over certain
pre-specified size. In this paper, we extend the discussion by investigating
the frequency of drawdowns, and some of their inherent characteristics. We
consider two types of drawdown time sequences depending on whether a historical
running maximum {is reset or not}. For each type, we study the frequency rate
of drawdowns, the Laplace transform of the $n$-th drawdown time, the
distribution of the running maximum and the value process at the $n$-th
drawdown time, as well as some other quantities of interest. Interesting
relationships between these two drawdown time sequences are also established.
Finally, insurance policies protecting against the risk of frequent drawdowns
are also proposed and priced.
