INSURER

作品数：24被引量：14H指数：2
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相关领域：经济管理更多>>
相关作者：胡晓雨更多>>
相关机构：华东师范大学中国政法大学更多>>
相关期刊：《Journal of Donghua University(English Edition)》《Acta Mathematicae Applicatae Sinica》《应用概率统计》《Acta Mathematica Scientia》更多>>
相关基金：国家自然科学基金安徽省自然科学基金国家教育部博士点基金国家重点基础研究发展计划更多>>
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  • 期刊=Applied Mathematics（A Journal of Chinese Universities）x
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Estimating the shareholder's terminal payoff based on insurer's solvency ratio in mixed fractional Brownian market
《Applied Mathematics(A Journal of Chinese Universities)》2015年第3期317-324,共8页XIA Deng-feng FEI Wei-yin LIU Hong-jian 
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)
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 ...
关键词：mixed fractional Brownian motion Wick-It stochastic integral solvency ratio financial distress cost 
Study on the model of an insurer's solvency ratio in Markov-modulated Brownian markets被引量：2
《Applied Mathematics(A Journal of Chinese Universities)》2011年第1期23-28,共6页XIA Deng-feng FEI Wei-yin LIANG Yong 
Supported by National Natural Science Foundation of China (10671182);Anhui Natural Science Foundation (090416225);Anhui Natural Science Foundation of Universities (KJ2010A037, KJ2010B026);Anhui Natural Science Foundation (10040606Q03)
In this paper the insurer＇s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer＇s solvency ratio is characterized by a Markov-modul...
关键词：Markov-modulated market jump diffusion process solvency ratio Girsanov＇s theorem financialdistress cost. 
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