Backward stochastic differential equations in dynamics of life insurance solvency risk
In this thesis we describe the dynamics of solvency level in life insurance contracts. We do this by representing the underlying sources of risk and the solvency level as the solution to a forward-backward stochastic differential equation system. We start by introducing Brownian motion, stochastic i...
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| Muut tekijät: | , , , , , |
| Aineistotyyppi: | Pro gradu |
| Kieli: | eng |
| Julkaistu: |
2022
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| Aiheet: | |
| Linkit: | https://jyx.jyu.fi/handle/123456789/84222 |