Dynamics of solvency risk in life insurance liabilities

DOI10.1080/03461238.2015.1020856zbMath1401.91116OpenAlexW2006847801MaRDI QIDQ4575375

Marcus C. Christiansen, Matthias Albrecht Fahrenwaldt

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1020856

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationlife insurance risk managementsolvency level

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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