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A functional variational approach to pricing path dependent insurance policies

Authors :
Baños, David R.
Ortiz-Latorre, Salvador
Font, Oriol Zamora
Publication Year :
2024

Abstract

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 It\^o calculus.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2409.00780
Document Type :
Working Paper