Pricing cumulative loss derivatives under additive models via Malliavin calculus

DOI10.5269/bspm.51549OpenAlexW3166738471MaRDI QIDQ6194623

Unnamed Author, Unnamed Author, Josep Vives

Publication date: 16 February 2024

Published in: Boletim da Sociedade Paranaense de Matemática (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5269/bspm.51549

zbMATH Keywords

Lévy processesadditive processesrisk measuresloss processinsurance derivativesMalliavin-Skorohod calculus

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Reinsurance
• Financial Modelling with Jump Processes
• Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data

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