A Malliavin calculus approach to sensitivity analysis in insurance

Insurance: Mathematics and Economics

Volumn 35, Issue 3, 2004, Pages 679-690

  Privault, Nicolas ^a   Wei, Xiao ^b  

^a UNIVERSITÉ DE LA ROCHELLE   (France)

^b WUHAN UNIVERSITY   (China)

Author keywords

Malliavin calculus; Probabilities of ruin; Reserve processes; Sensitivity analysis

Indexed keywords

EID: 10144260009     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.08.003     Document Type: Article

References (8)

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