Pricing cumulative loss derivatives under additive models via Malliavin calculus
| Autor: | Mohammed El-arbi Khalfallah, Mohammed Lakhdar Hadji, Josep Vives |
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| Jazyk: | English<br />Portuguese |
| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | Boletim da Sociedade Paranaense de Matemática, Vol 41 (2022) |
| Druh dokumentu: | article |
| ISSN: | 0037-8712 2175-1188 |
| DOI: | 10.5269/bspm.51549 |
| Popis: | We show that integration by parts formulas based on Malliavin-Skorohod calculus techniques for additive processes help us to compute quantities like ${\E}(L_T h(L_T))$ for different suitable functions $h$ and different models for the cumulative loss process $L_T$. These quantities are important in Insurance and Finance. For example they appear in computing expected shortfall risk measures or stop-loss contracts. The formulas given in the present paper, obtained by simple proofs, generalize the formulas given in a recent paper by Hillairet, Jiao and Réveillac using Malliavin calculus techniques for the standard Poisson process, a particular case of additive process. |
| Databáze: | Directory of Open Access Journals |
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