Chen Liping, Yang Xiangqun. Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(4): 345-351.
Citation: Chen Liping, Yang Xiangqun. Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(4): 345-351.
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Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process

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  • 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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