Study on the model of an insurer's solvency ratio in Markov-modulated 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 insu...
《Applied Mathematics:A Journal of Chinese Universitie…》  2011年 第01期 下载次数(78)| 被引次数(2)

Estimating the shareholder's terminal payoff based on insurer's solvency ratio in mixed fractional Brownian market 

This paper studies the insurer s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It ...
《Applied Mathematics:A Journal of Chinese Universitie…》  2015年 第03期 下载次数(26)| 被引次数(0)

Estimating the Shareholder's Terminal Payoff in Insurer's Solvency Ratio Model under Fractional Market 

The insurer s solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic d...
《Journal of Donghua University(English Edition)》  2016年 第01期 下载次数(46)| 被引次数(0)