| 房价服从指数O-U过程保证险的鞅定价 |
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| 引用本文： | 陈丽萍,李晨.房价服从指数O-U过程保证险的鞅定价[J].湖南文理学院学报(自然科学版),2008,20(1):20-22. |
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| 作者姓名： | 陈丽萍 李晨 |
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| 作者单位： | 湖南财经高等专科学校,基础课部,湖南,长沙,410205;湖南农业大学,理学院,湖南,长沙,410128 |
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| 基金项目： | 湖南农业大学校科研和教改项目 |
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| 摘 要： | 假设未偿付额为常数, 房产价格服从指数O-U过程,利用期权定价的鞅方法, 得到了全额担保和部分担保两类保证险的定价公式 .
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| 关 键 词： | 住房抵押贷款 保证险 期权 保险精算定价 |
| 文章编号： | 1672-6146(2008)01-0020-02 |
| 修稿时间： | 2007年6月10日 |
Pricing mortgage insurance with house price driven by O-U process |
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| CHEN Li-ping ,LI chen.Pricing mortgage insurance with house price driven by O-U process[J].Journal of Hunan University of Arts and Science:Natural Science Edition,2008,20(1):20-22. |
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| Authors: | CHEN Li-ping LI chen |
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| Institution: | CHEN Li-ping 1,LI chen 2 (1.Basic department,Hunan college of finance , economics,Changsha,Hunan,410205,2.Science college Hunan agricultural university,410128) |
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| Abstract: | Under the assumptions that the unpaid money was a constant and the house price was driven by O-U process, introducing the principle of option pricing,the martingale pricing formulas were obtained to two kinds of mortgage insurance. |
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| Keywords: | mortgage insurance option insurance actuary pricing |
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