英文标题：
《Pricing formulae for derivatives in insurance using the Malliavin
calculus》
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作者：
Caroline Hillairet (ENSAE ParisTech), Ying Jiao (SAF), Anthony
R\\\'eveillac (INSA Toulouse, IMT)
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最新提交年份：
2017
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英文摘要：
In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In analogy with the celebrated Black-Scholes formula, we aim at expressing the expected cash flow in terms of a building block. The former is related to the loss process which is a cumulated sum indexed by a doubly stochastic Poisson process of claims allowed to be dependent on the intensity and the jump times of the counting process. For example, in the context of Stop-Loss contracts the building block is given by the distribution function of the terminal cumulated loss, taken at the Value at Risk when computing the Expected Shortfall risk measure.
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中文摘要：
本文利用Malliavin演算给出了依赖于一般损失过程的不同类别的精算和金融合同的估值公式。与著名的布莱克-斯科尔斯公式类似，我们的目标是用积木表达预期现金流。前者与损失过程有关，损失过程是由索赔的双随机泊松过程所索引的累积和，允许其依赖于计数过程的强度和跳跃时间。例如，在止损合同的情况下，构建模块由终端累积损失的分布函数给出，在计算预期短缺风险度量时，以风险值为准。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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