The market for Adverse Development Cover and Loss Portfolio Transfer has been growing in the past few years. Despite this growth, reinsurers are still struggling to define a standard method for pricing such covers. In this context, this article aims at providing an innovative method for pricing...

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...

This presentation motivates the concept of smart derivative contracts. Inspired by smart contracts from distributed ledger technology, we define a derivative contract with an automatic termination feature