住房抵押贷款保险的Martingale评价及保险精算定价  

Martingale Evaluation and Insurance Actuarial Pricing of Residential Mortgage Insurance

作　　者：陈丽萍 CHEN Liping(School of Mathematics and Statistics,Hunan University of Finance and Economics,Changsha,Hunan 410205,China)

机构地区：[1]湖南财政经济学院数学与统计学院,湖南长沙410205

出　　处：《宜宾学院学报》2021年第6期67-71,共5页Journal of Yibin University

基　　金：湖南省哲学社会科学基金项目“数理模型下住房抵押贷款保险的创新设计及定价研究”(17YBA052)。

摘　　要：假设房产价格的动态过程为广义Ornstein⁃Uhlenback过程,分别利用Martingale评价方法和保险精算方法,给出了房屋抵押贷款协同保险保费的Martingale评价公式和保险精算定价公式,并对两种方法得到的保费公式进行比较分析,得出保费的保险精算定价公式是有套利的.Under the assumptions that the house price was driven by general Ornstein⁃Uhlenback process,the martingale pricing formula and the insurance actuary pricing formula of the innovative mortgage common insurance were obtained by taking advan⁃tage of martingale pricing method and insurance actuary pricing method.Furthermore,it was proved that the two pricing results are different and the insurance is essentially an arbitrage pricing.

关 键 词：抵押贷款 保险 期权 鞅定价 保险精算定价 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]