A functional variational approach to pricing path-dependent insurance policies
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 Itô calculus.
Fields of Study & Subjects
Insurance
Mortality
Demography
Risk Management
Insurance and Financial Risk Management
demographic modeling and climate adaptation
Publication details
- Journal / source
- Stochastics
- Publisher
- Informa UK Limited
- Pages
- 1–24
- Publication date
- 13 June 2026
- Language
- EN