摘要
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 the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.
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 the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders' terminal payoff is given. The model extends the existing results.
基金
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)
