安徽工程大学学报2017，Vol.32Issue(1)：29-32,37,5.
分数布朗环境下带随机利率的保险商偿债率模型研究
Solvency Ratio Model under Fractional Brownian Environment with Random Interest Rate
摘要
Abstract
Under fractional Brownian environment,the insurer's solvency ratio model is established with a stochastic interest rate, where the insurer's financial distress cost is considered.By Girsanov's theorem and the method of the stochastic calculus of the fractional Brownian and the pricing formula of European for the fractional Brownian motion, the explicit formula for the expected present value of shareholder's terminal pay off is presented.关键词
分数布朗运动/偿债率/Girsanov定理/Vasicek扩展模型Key words
fractional brownian motion/solvency ratio/Girsanov's theorem/Vasicek extended model分类
数理科学引用本文复制引用
洪品,夏登峰,陈志蒙..分数布朗环境下带随机利率的保险商偿债率模型研究[J].安徽工程大学学报,2017,32(1):29-32,37,5.基金项目
安徽省自然科学基金资助项目(1608085MA02) （1608085MA02）
