Pricing formulae for derivatives in insurance using Malliavin calculus
نویسندگان
چکیده
منابع مشابه
Pricing formulae for derivatives in insurance using the Malliavin calculus *
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 the Malliavin calculus. In analogy with the celebrated Black-Scholes formula, we aim at expressing 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 stoch...
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ژورنال
عنوان ژورنال: Probability, Uncertainty and Quantitative Risk
سال: 2018
ISSN: 2367-0126
DOI: 10.1186/s41546-018-0028-9