A functional variational approach to pricing path dependent insurance policies
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866908036830855168 |
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| author | Baños, David R. Ortiz-Latorre, Salvador Font, Oriol Zamora |
| author_facet | Baños, David R. Ortiz-Latorre, Salvador Font, Oriol Zamora |
| contents | The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial asset. To this end, we employ variational techniques from the theory of functional Itô calculus. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_00780 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A functional variational approach to pricing path dependent insurance policies Baños, David R. Ortiz-Latorre, Salvador Font, Oriol Zamora Pricing of Securities 60H30, 91G20, 91G30, 91G60, 35Q91 The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial asset. To this end, we employ variational techniques from the theory of functional Itô calculus. |
| title | A functional variational approach to pricing path dependent insurance policies |
| topic | Pricing of Securities 60H30, 91G20, 91G30, 91G60, 35Q91 |
| url | https://arxiv.org/abs/2409.00780 |