Pricing formulae for derivatives in insurance using Malliavin calculus View Full Text


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Article Info

DATE

2018-06-05

AUTHORS

Caroline Hillairet, Ying Jiao, Anthony Réveillac

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. The former is related to the loss process which is a cumulated sum indexed by a doubly stochastic Poisson process of claims allowed to be dependent on the intensity and the jump times of the counting process. For example, in the context of stop-loss contracts, the building block is given by the distribution function of the terminal cumulated loss taken at the Value at Risk when computing the expected shortfall risk measure. More... »

PAGES

7

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Identifiers

URI

http://scigraph.springernature.com/pub.10.1186/s41546-018-0028-9

DOI

http://dx.doi.org/10.1186/s41546-018-0028-9

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1104408398


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