Pricing formulae for derivatives in insurance using Malliavin calculus
Author:
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
General Medicine
Link
http://link.springer.com/content/pdf/10.1186/s41546-018-0028-9.pdf
Reference14 articles.
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3. Albrecher, H, Constantinescu, C, Loisel, S: Explicit ruin formulas for models with dependence among risks. Insur. Math. Econ. 48(2), 265–270 (2011).
4. Bakshi, G, Madan, D, Zhang, F: Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates (2006). FDIC Center for Financial Research Working Paper No. 2006-06. https://doi.org/10.2139/ssrn.285940.
5. Borodin A, Salminen P: Handbook of Brownian motion—facts and formulae. 2nd edn. Probability and its Applications. Birkhäuser Verlag, Basel (2002).
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