Pricing formulae for derivatives in insurance using Malliavin calculus

DOI10.1186/s41546-018-0028-9zbMath1435.62373arXiv1707.05061OpenAlexW3020847986MaRDI QIDQ2296117

Ying Jiao, Caroline Hillairet, Anthony Réveillac

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.05061

zbMATH Keywords

Malliavin calculusCox processesinsurance derivativespricing formulae

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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