Estimating the Shareholder's Terminal Payoff in Insurer's Solvency Ratio Model under Fractional Market  

作　　者：夏登峰 费为银 刘宏建 

机构地区：[1]School of Mathematics and Physics,Anhui Polytechnic University,Wuhu 241000,China [2]College ofInformation Science and Technology,Donghua University,Shanghai 201620,China

出　　处：《Journal of Donghua University(English Edition)》2016年第1期117-120,共4页东华大学学报（英文版）

基　　金：National Natural Science Foundations of China(Nos.71271003,71571001,11326121);Natural Science Foundation of Anhui Province,China(No.1608085M A02);Teaching Research Project of Anhui Province,China(No.2013jyxm111);Opening Project of Financial Engineering Research and Development Center of Anhui Polytechnic University,China(No.JRGCKF201502)

摘　　要：The insurer's solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fractional Brownian motion. The market coefficients of market model are deterministic functions. By the stochastic calculus of the fractional Brownian motion and the pricing formula of European call option for the fractional Brownian motion,the explicit formula for the expected present value of shareholder's terminal payoff is given. The model extends the existing results.The insurer＇s solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fractional Brownian motion. The market coefficients of market model are deterministic functions. By the stochastic calculus of the fractional Brownian motion and the pricing formula of European call option for the fractional Brownian motion,the explicit formula for the expected present value of shareholder＇s terminal payoff is given. The model extends the existing results.

关 键 词：fractional Brownian motion Wick-Ito stochastic integral Girsanov theorem for fractional Brownian motion solvency ratio financial distress cost 

分 类 号：O211.6[理学—概率论与数理统计]