A Malliavin calculus approach to sensitivity analysis in insurance

DOI10.1016/J.INSMATHECO.2004.08.003zbMATHOpenAlexMaRDI QIDQ2485535FDO

Authors Nicolas Privault, Xiao Wei

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)

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Cites work

• scientific article; zbMATH DE number 4122983 (Why is no real title available?)
• A calculus on Fock space and its probabilistic interpretations
• 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
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Ruin estimates under interest force

Cited in

(15)

• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• Enlargement of filtration on Poisson space: a Malliavin calculus approach
• Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Sensitivity of the joint survival probability for reinsurance schemes
• Sensitivity analysis and density estimation for finite-time ruin probabilities
• Pricing formulae for derivatives in insurance using Malliavin calculus
• Sensitivity of life insurance reserves via Markov semigroups
• Pricing cumulative loss derivatives under additive models via Malliavin calculus
• Sensitivities \textit{via} rough paths
• Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
• Sensitivity Analysis of Insurance Risk Models via Simulation
• Integration by Parts for Point Processes and Monte Carlo Estimation
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital

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