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

• 作 者: 夏登峰 费为银 刘宏建
• 机 构: SchoolofMathematicsandPhysics,CollegeofInformationScienceandTechnology
• 出 处: 东华大学学报：英文版
• 发表日期: 2016年1期
• 关键词: fractional Brownian motion Wick-It?stochastic integral Girsanov theorem for frac
• 基金项目: National Natural Science Foundations of China（Nos.71271003,71571001,11326121）, Natural Science Foundation of Anhui Province,China（No.1608085M A02）, Teaching Research Project of Anhui Province,China（No

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 differential equation,which is driven by the fractional Brownian motion. The market coefficients