A Malliavin calculus approach to sensitivity analysis in insurance

DOI10.1016/J.INSMATHECO.2004.08.003zbMATH Open1122.91044OpenAlexW3122756249MaRDI QIDQ2485535FDOQ2485535

Xiao Wei, Nicolas Privault

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.08.003

zbMATH Keywords

Malliavin calculusSensitivity analysisProbabilities of ruinReserve processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Ruin estimates under interest force
• A calculus on Fock space and its probabilistic interpretations

Cited In (13)

• Sensitivities \textit{via} rough paths
• Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model
• Sensitivity of the joint survival probability for reinsurance schemes
• Sensitivity of life insurance reserves via Markov semigroups
• Pricing formulae for derivatives in insurance using Malliavin calculus
• Sensitivity Analysis of Insurance Risk Models via Simulation
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• Enlargement of filtration on Poisson space: a Malliavin calculus approach
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Integration by Parts for Point Processes and Monte Carlo Estimation
• Sensitivity analysis and density estimation for finite-time ruin probabilities
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL

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