分数布朗环境下带随机利率的保险商偿债率模型研究  

Solvency Ratio Model under Fractional Brownian Environment with Random Interest Rate

作　　者：洪品 夏登峰[1] 陈志蒙 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2017年第1期29-32,37,共5页Journal of Anhui Polytechnic University

基　　金：安徽省自然科学基金资助项目(1608085MA02)

摘　　要：在分数布朗环境下,考虑保险商有金融困境成本时,建立带随机利率的保险商偿债率(SR)模型.采用Girsanov定理进行测度变换,利用分数布朗环境下的欧式看涨期权的定价公式,给出了保险商终期收益的现值.该模型扩展了现有的结果.Under fractional Brownian environment,the insurer＇s solvency ratio model is established with a stochastic interest rate,where the insurer＇s financial distress cost is considered.By Girsanov＇s theorem and the method of the stochastic calculus of the fractional Brownian and the pricing formula of European for the fractional Brownian motion,the explicit formula for the expected present value of shareholder＇s terminal pay off is presented.

关 键 词：分数布朗运动 偿债率 GIRSANOV定理 Vasicek扩展模型 

分 类 号：O211.63[理学—概率论与数理统计] F830.9[理学—数学]