| 房产价格服从一般It过程的保证险定价 |
| |
| 作者单位： | 湖南农业大学理学院 湖南长沙410128(李晨)，湖南财政经济学院 湖南长沙410205(陈丽萍) |
| |
| 摘 要： | 假设未偿付额为常数且房产价格服从一般的It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.
|
| 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 Process |
| |
| Authors: | LI Chen CHEN Li-ping |
| |
| Institution: | LI Chen1,CHEN Li-ping2 |
| |
| 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 It process. |
| |
| Keywords: | mortgage insurance option martingale pricing insurance actuary pricing |
| 本文献已被 CNKI 等数据库收录！ |
