| 房价服从非时齐Poisson跳扩散的住房抵押贷款保证险的定价 |
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| 引用本文： | 陈丽萍,杨向群.房价服从非时齐Poisson跳扩散的住房抵押贷款保证险的定价[J].应用概率统计,2007,23(4):345-351. |
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| 作者姓名： | 陈丽萍 杨向群 |
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| 作者单位： | 1. 湖南财经高等专科学校基础部,长沙,410205
2. 湖南师范大学数学与计算机科学学院,长沙,410081 |
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| 基金项目： | 国家自然科学基金;高等学校博士学科点专项科研项目 |
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| 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.
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| 关 键 词： | 住房抵押贷款 保证险 期权 保险精算定价 poisson跳扩散. |
| 收稿时间： | 2004-10-10 |
| 修稿时间： | 2005-09-27 |
Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process |
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| CHEN LIPING,YANG XIANGQUN.Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process[J].Chinese Journal of Applied Probability and Statisties,2007,23(4):345-351. |
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| Authors: | CHEN LIPING YANG XIANGQUN |
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| Institution: | Department of Mathematics, Hunan College of Finance and Economics, College of Mathematics and Computer Science, Hunan Normal University |
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| Abstract: | Under the assumptions that a house price process driven by nonhomogeneous Poisson jumpdiffusion 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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