| 指数O-U过程下保证险的保险精算定价 |
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| 引用本文： | 李晨,陈丽萍.指数O-U过程下保证险的保险精算定价[J].数学的实践与认识,2009,39(4). |
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| 作者姓名： | 李晨 陈丽萍 |
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| 作者单位： | 1. 湖南农业大学,理学院,长沙,410128
2. 湖南财经高等专科学校,基础部,长沙,410205 |
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| 基金项目： | 湖南农业大学人才引进科学基金 |
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| 摘 要： | 引入期权定价理论,利用保险精算方法,得到了全额担保和部分担保两类保证险的保险精算定价公式,其中未偿付额为常数,房产价格服从指数O-U过程.
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| 关 键 词： | 住房抵押贷款 保证险 期权 保险精算定价 |
Pricing Mortgage Insurance under O-U Process |
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| LI Chen,CHEN Li-ping.Pricing Mortgage Insurance under O-U Process[J].Mathematics in Practice and Theory,2009,39(4). |
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| Authors: | LI Chen CHEN Li-ping |
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| Abstract: | Under the assumptions that the unpaid money is a constant and the house price is driven by O-U process,introducing the principle of option pricing,we Obtain the insurance actuary pricing formulas to two kinds of mortgage insurance. |
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| Keywords: | mortgage insurance option insurance actuary pricing |
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