Sensitivity of the joint survival probability for reinsurance schemes

DOI10.1002/mma.2922zbMath1281.91103OpenAlexW1972394065MaRDI QIDQ2870748

Michael A. Zazanis, Nikolaos E. Frangos, Eleni E. Roumelioti

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) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Homogenization in stochastic differential geometry
• Ruin problems with compounding assets
• Controlled diffusion models for optimal dividend pay-out
• Ruin problems with assets and liabilities of diffusion type
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Malliavin Greeks without Malliavin calculus
• A Malliavin calculus approach to sensitivity analysis in insurance
• Optimal proportional reinsurance policies for diffusion models
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Diffusion approximations in collective risk theory
• 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

This page was built for publication: Sensitivity of the joint survival probability for reinsurance schemes