房价服从非时齐Poisson跳扩散的住房抵押贷款保证险的定价

Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process

  • 摘要: 利用期权定价理论和保险精算方法, 分析了住房抵押贷款保证险的定价问题, 给出了全额担保和部分担保两类住房抵押贷款保证险的定价公式, 其中未偿付额服从一般扩散过程, 房产价格服从带非时齐Poisson跳的扩散过程.

     

    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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