15 Pages Posted: 16 May 2004
Date Written: 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.
Keywords: Probabilities of ruin, reserve processes, sensitivity analysis, Malliavin calculus
JEL Classification: G22
Suggested Citation: Suggested Citation
Privault, Nicolas and Wei, Xiao, A Malliavin Calculus Approach to Sensitivity Analysis in Insurance (July 23, 2003). Available at SSRN: https://ssrn.com/abstract=546862 or http://dx.doi.org/10.2139/ssrn.546862