Pricing formulae for derivatives in insurance using Malliavin calculus

Pricing formulae for derivatives in insurance using Malliavin calculus

Abstract In this paper, we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process by using Malliavin calculus. Similar to the celebrated Black–Scholes formula, we aim to express the expected cash flow in terms of a building block...

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Bibliographic Details
Main Authors: Caroline Hillairet, Ying Jiao, Anthony Réveillac
Format: Article
Language:English
Published: SpringerOpen 2018-06-01
Series:Probability, Uncertainty and Quantitative Risk
Subjects:
Cox processes
Pricing formulae
Insurance derivatives
Malliavin calculus
Online Access:http://link.springer.com/article/10.1186/s41546-018-0028-9

Internet

http://link.springer.com/article/10.1186/s41546-018-0028-9

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