Concepedia

Stochastic Pricing Models

Stochastic Pricing Models is a class of probabilistic frameworks in reinsurance pricing that incorporate random variables and stochastic processes to simulate uncertain future losses and estimate risk-adjusted premiums, distinguishing them from deterministic models by explicitly modeling randomness and distributional uncertainty in loss occurrences and severities.

407

Publications

19.6K

Citations

768

Authors

438

Institutions

Publications per year

2017–2026

66

Parents

Publications

407

An Overview of Pricing Models for Revenue Management

Gabriel R. Bitran, René Caldentey · Manufacturing & Service Operations Management · 2003 · 805 citations

, , +17

On modelling and pricing weather derivatives

Peter Alaton, Boualem Djehiche, David Stillberger · Applied Mathematical Finance · 2002 · 391 citations

, , +17

A stochastic mesh method for pricing high-dimensional American options

Mark Broadie, Paul Glasserman · The Journal of Computational Finance · 2004 · 378 citations

, , +14

A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

Laurent Denis, Claude Martini · The Annals of Applied Probability · 2006 · 359 citations · Full text

, , +17

Numerical Valuation of High Dimensional Multivariate American Securities

Jérôme Barraquand, Didier Martineau · Journal of Financial and Quantitative Analysis · 1995 · 336 citations

, , +17

1–5 of 407

Authors

768

  1. PE
    Paul Emms

    City, University of London, United Kingdom

    5 publications · 176 citations

    5

    h-index

  2. SH
    Steven Haberman

    City, University of London, United Kingdom

    5 publications · 285 citations

    5

    h-index

  3. YK
    Yue Kuen Kwok

    Hong Kong University of Science and Technology, Hong Kong SAR China

    5 publications · 354 citations

    5

    h-index

  4. JD
    José Da Fonseca

    Auckland University of Technology, New Zealand

    4 publications · 361 citations

    4

    h-index

  5. VR
    Virginia R. Young

    University of Michigan, United States

    4 publications · 166 citations

    4

    h-index

1–5 of 768

Institutions

438

  1. University of Waterloo

    Waterloo, Canada

    12 h-index

    20 publications

    717 citations

  2. University of Hong Kong

    Pok Fu Lam, Hong Kong

    11 h-index

    14 publications

    551 citations

  3. Columbia University

    New York, United States

    10 h-index

    15 publications

    1.2K citations

  4. New York University

    New York, United States

    9 h-index

    10 publications

    1K citations

  5. Imperial College London

    London, United Kingdom

    8 h-index

    12 publications

    771 citations

  6. Cornell University

    Ithaca, United States

    7 h-index

    9 publications

    497 citations

  7. Hong Kong University of Science and Technology

    Hong Kong, Hong Kong

    7 h-index

    9 publications

    425 citations

  8. Central University of Finance and Economics

    Beijing, China

    7 h-index

    7 publications

    269 citations

1–8 of 438

Venues

  1. Insurance Mathematics and Economics

    32 publications · 1.5K citations

    21

    h-index

  2. SSRN Electronic Journal

    Repository · 34 publications · 1.1K citations

    18

    h-index

  3. European Journal of Operational Research

    11 publications · 453 citations

    11

    h-index

  4. Astin Bulletin

    11 publications · 316 citations

    10

    h-index

  5. Mathematical Finance

    10 publications · 646 citations

    10

    h-index

1–5