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In this paper, we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process by using Malliavin calculus. Similar to the celebrated Black–Scholes formula, we aim to express the expected cash flow in terms of a building block. The former is related to the loss process which is a cumulated sum indexed by a doubly stochastic Poisson process of claims allowed to be dependent on the intensity and the jump times of the counting process. For example, in the context of stop-loss contracts, the building block is given by the distribution function of the terminal cumulated loss taken at the Value at Risk when computing the expected shortfall risk measure. [ABSTRACT FROM AUTHOR]