| 房产价格服从一般Ito^过程的保证险定价 |
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| 引用本文： | 李晨,陈丽萍.房产价格服从一般Ito^过程的保证险定价[J].吉首大学学报(自然科学版),2007,28(1):38-40. |
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| 作者姓名： | 李晨 陈丽萍 |
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| 作者单位： | （1.湖南农业大学理学院，湖南 长沙 410128；2.湖南财政经济学院，湖南 长沙 410205） |
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| 摘 要： | 假设未偿付额为常数且房产价格服从一般的Ｉｔo^过程，得到了2类住房抵押贷款保证险的传统鞅定价公式和保险精算定价公式，并证明了2种方法的定价结果是完全一致的.
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| 关 键 词： | 住房抵押贷款 保证险 期权 鞅定价 保险精算定价 |
Pricing Mortgage Insurance When House Price is Driven by a Genegal It(o) Process |
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| LI Chen,CHEN Li-ping.Pricing Mortgage Insurance When House Price is Driven by a Genegal It(o) Process[J].Journal of Jishou University(Natural Science Edition),2007,28(1):38-40. |
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| Authors: | LI Chen CHEN Li-ping |
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| Institution: | (1.College of Science,Hunan Agricultural University,Changsha 410128,China;2.Hunan College of Finance and Economics,Changsha 410205,China) |
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| Abstract: | Obtain the martingale pricing formulas and the insurance actuary pricing formulas to two kinds of mortgage insurance,and also prove that they go all the way when the unpaid money is a constant and the house price is driven by a genegal Ito^ process. |
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| Keywords: | mortgage insurance option martingale pricing insurance actuary pricing |
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