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Joshi, Mark S.; Zhu, Dan The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital. (English) Zbl 1390.91191 ASTIN Bull. 46, No. 2, 431-467 (2016). MSC: 91B30 62P05 91G60 PDFBibTeX XMLCite \textit{M. S. Joshi} and \textit{D. Zhu}, ASTIN Bull. 46, No. 2, 431--467 (2016; Zbl 1390.91191) Full Text: DOI
Malyarenko, Anatoliy; Röman, Jan; Schyberg, Oskar Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model. (English) Zbl 1356.91088 Silvestrov, Sergei (ed.) et al., Engineering mathematics I. Electromagnetics, fluid mechanics, material physics and financial engineering. Cham: Springer (ISBN 978-3-319-42081-3/hbk; 978-3-319-42082-0/ebook). Springer Proceedings in Mathematics & Statistics 178, 301-314 (2016). MSC: 91G20 91B30 60H30 60H07 PDFBibTeX XMLCite \textit{A. Malyarenko} et al., Springer Proc. Math. Stat. 178, 301--314 (2016; Zbl 1356.91088) Full Text: DOI
Marie, Nicolas Sensitivities via rough paths. (English) Zbl 1333.60126 ESAIM, Probab. Stat. 19, 515-543 (2015). MSC: 60H10 60H07 60H99 60G15 60G22 91G80 PDFBibTeX XMLCite \textit{N. Marie}, ESAIM, Probab. Stat. 19, 515--543 (2015; Zbl 1333.60126) Full Text: DOI arXiv
Roumelioti, Eleni E.; Zazanis, Michael A.; Frangos, Nikos E. Sensitivity of the joint survival probability for reinsurance schemes. (English) Zbl 1281.91103 Math. Methods Appl. Sci. 37, No. 2, 289-295 (2014). MSC: 91B30 60J60 65C05 60H07 PDFBibTeX XMLCite \textit{E. E. Roumelioti} et al., Math. Methods Appl. Sci. 37, No. 2, 289--295 (2014; Zbl 1281.91103) Full Text: DOI
Loisel, Stéphane; Privault, Nicolas Sensitivity analysis and density estimation for finite-time ruin probabilities. (English) Zbl 1169.91018 J. Comput. Appl. Math. 230, No. 1, 107-120 (2009). Reviewer: A. Świerniak (Gliwice) MSC: 91B82 91B30 60H07 60J65 65C60 60J75 PDFBibTeX XMLCite \textit{S. Loisel} and \textit{N. Privault}, J. Comput. Appl. Math. 230, No. 1, 107--120 (2009; Zbl 1169.91018) Full Text: DOI
Privault, Nicolas; Wei, Xiao Integration by parts for point processes and Monte Carlo estimation. (English) Zbl 1128.62044 J. Appl. Probab. 44, No. 3, 806-823 (2007). MSC: 62G07 65C05 60H30 60H07 60G55 60K15 PDFBibTeX XMLCite \textit{N. Privault} and \textit{X. Wei}, J. Appl. Probab. 44, No. 3, 806--823 (2007; Zbl 1128.62044) Full Text: DOI
Bally, Vlad; Bavouzet, Marie-Pierre; Messaoud, Marouen Integration by parts formula for locally smooth laws and applications to sensitivity computations. (English) Zbl 1139.60025 Ann. Appl. Probab. 17, No. 1, 33-66 (2007). Reviewer: Christian-Oliver Ewald (Leeds) MSC: 60H07 60J75 65C05 PDFBibTeX XMLCite \textit{V. Bally} et al., Ann. Appl. Probab. 17, No. 1, 33--66 (2007; Zbl 1139.60025) Full Text: DOI arXiv