Sensitivity of the joint survival probability for reinsurance schemes

DOI10.1002/MMA.2922MaRDI QIDQ2870748zbMATH OpenOpenAlexFDO

Authors Eleni E. Roumelioti, Michael A. Zazanis, Nikos E. Frangos

Publication date 21 January 2014

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.2922

zbMATH Keywords

diffusion approximationreinsurancesensitivity analysis of Monte Carlo simulations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60)

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Cites work

• scientific article; zbMATH DE number 5010396 (Why is no real title available?)
• scientific article; zbMATH DE number 2146311 (Why is no real title available?)
• A Malliavin calculus approach to sensitivity analysis in insurance
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Controlled diffusion models for optimal dividend pay-out
• Diffusion approximations in collective risk theory
• Homogenization in stochastic differential geometry
• Malliavin Greeks without Malliavin calculus
• Malliavin calculus and its applications
• Optimal proportional reinsurance policies for diffusion models
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Ruin problems with assets and liabilities of diffusion type
• Ruin problems with compounding assets
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control

Cited in

(2)

• Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions

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