Estimating the shareholder's terminal payoff based on insurer's solvency ratio in mixed fractional Brownian market  

作　　者：XIA Deng-feng FEI Wei-yin LIU Hong-jian 

机构地区：[1]College of Information Science and Technology, Donghua University [2]School of Mathematics and Physics, Anhui Polytechnic University

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2015年第3期317-324,共8页高校应用数学学报（英文版）（B辑）

基　　金：Supported by National Natural Science Foundation of China(71171003,71271003,and 11326121);Natural Science Foundation of Anhui Province(1508085MA02);Teaching Research Project of Anhui Province(2013jyxm111);Opening Project of Financial Engineering Research and Development Center of Anhui Polytechnic University(JRGCKF201502)

摘　　要：This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.This paper studies the insurer's solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders' terminal payoff is given. The model extends the existing results.

关 键 词：mixed fractional Brownian motion Wick-It stochastic integral solvency ratio financial distress cost 

分 类 号：F841.3[经济管理—保险]