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A Malliavin Calculus Approach to Sensitivity Analysis in Insurance

Nicolas Privault

Université de la Rochelle

Xiao Wei

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

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Date posted: May 16, 2004  

Suggested Citation

Privault, Nicolas and Wei, Xiao, A Malliavin Calculus Approach to Sensitivity Analysis in Insurance (July 23, 2003). Available at SSRN: http://ssrn.com/abstract=546862 or http://dx.doi.org/10.2139/ssrn.546862

Contact Information

Nicolas Privault (Contact Author)
Université de la Rochelle ( email )
Avenue Marillac
Department of Mathematics
F-17042 La Rochelle Cedex 1
HOME PAGE: http://perso.univ-lr.fr/nprivaul/
Wei Xiao
Wuhan University - Department of Mathematics ( email )
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