A functional variational approach to pricing path dependent insurance policies

David R. Ba\~nos, Salvador Ortiz-Latorre and Oriol Zamora Font

Papers from arXiv.org

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.

Date: 2024-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2409.00780 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2409.00780

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().