Applications of backward stochastic differential equations to insurance and finance

Czasopismo

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• Autorzy: Łukasz Delong
• Języki publikacji: EN

Abstrakty

EN

In this paper we deal with backward stochastic differential equations and give examples of their applications to insurance and finance. There are two major fields of applications. The first area concerns pricing and risk measures, the second deals with optimal control problems and optimization. Our aim is to show that backward stochastic differential equations,despite its mathematical complexity, are intuitive and can help in solving real life problems. Keywords: backward stochastic differential equation, Choquet expectation, f-expectation, market consistent valuation, quadratic hedging, unit-linked products. (original abstract)

W pracy tej rozważamy wsteczne stochastyczne równania różniczkowe oraz ich zastosowania w ubezpieczeniach i finansach. Dwa główne obszary zastosowań obejmują: wycenę zobowiązań i miary ryzyka oraz problemy optymalizacyjne w teorii sterowania stochastycznego. Naszym celem jest pokazanie, że wsteczne stochastyczne równania różniczkowe, mimo iż wymagają znajomości zaawansowanego matematycznego aparatu, mogą być pomocne przy rozwiązaniu rzeczywistych problemów. (abstrakt oryginalny)

Słowa kluczowe

EN

Differential equations; Insurance mathematics; Financial mathematics

PL

Równania różniczkowe; Matematyka ubezpieczeniowa; Matematyka finansowa

• Czasopismo: ---
• Strony: 11--26

Twórcy

autor

Łukasz Delong

• Warsaw School of Economics, Poland

Bibliografia

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