Sensitivity of the joint survival probability for reinsurance schemes

DOI10.1002/MMA.2922zbMATH Open1281.91103OpenAlexW1972394065MaRDI QIDQ2870748FDOQ2870748

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

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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)

Cites Work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Controlled diffusion models for optimal dividend pay-out
• Ruin problems with assets and liabilities of diffusion type
• Title not available (Why is that?)
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Ruin problems with compounding assets
• Optimal proportional reinsurance policies for diffusion models
• Diffusion approximations in collective risk theory
• Title not available (Why is that?)
• Malliavin Greeks without Malliavin calculus
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Malliavin calculus and its applications
• Homogenization in stochastic differential geometry
• A Malliavin calculus approach to sensitivity analysis in insurance

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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