CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2007, 23(4) 345-351 DOI:      ISSN: 1001-4268 CN: 31-1256

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Chen Liping
Yang Xiangqun
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Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process

Chen Liping, Yang Xiangqun

Department of Mathematics, Hunan College of Finance and Economics, College of Mathematics and Computer Science, Hunan Normal University

Abstract��

Under the assumptions that a house price process driven by nonhomogeneous Poisson jump-diffusion process, and unpaid money driven by general diffusion process, we analyze the pricing of mortgage insurance by the method of insurance actuary pricing and the principle of option pricing, and obtain the accurate formulas of two kinds of mortgage insurance.

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Received 1900-01-01 Revised 1900-01-01 Online:  
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