Study on the model of an Markov-modulated insurer＇s solvency ratio in Brownian markets

Study on the model of an Markov-modulated insurer＇s solvency ratio in Brownian markets

In this paper the insurer＇s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer＇s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov＇s theorem and the option pricing formula, the expected pre...

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Veröffentlicht in:高校应用数学学报：英文版 2011, Vol.26 (1), p.23-28
1. Verfasser: XIA Deng-feng FEI Wei-yin LIANG Yong
Format: Artikel
Sprache:eng
Schlagworte:
Girsanov定理
保险公司
市场
布朗
模型
能力
跳扩散过程
马尔可夫调制
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Zusammenfassung:In this paper the insurer＇s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer＇s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov＇s theorem and the option pricing formula, the expected present value of shareholders＇ terminal payoff is provided.
ISSN:1005-1031