A Malliavin Calculus Approach to Sensitivity Analysis in Insurance
Université de la Rochelle
Wuhan University - Department of Mathematics
July 23, 2003
Using the Malliavin calculus on Poisson space we compute the probability density of risk reserve processes and the sensitivities of probabilities of ruin at a given date for an insurance portfolio under interest force. We follow a method initiated in Fournie et al. Finance and Stochastics 3(4) 391-412, 1999, for continuous financial markets. The simulation graphs provided show that this method is computationally more efficient than the classical finite-difference Monte-Carlo approximation of derivatives.
Number of Pages in PDF File: 15
Keywords: Probabilities of ruin, reserve processes, sensitivity analysis, Malliavin calculus
JEL Classification: G22
Date posted: May 16, 2004
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