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

• 作 者: XIA Deng-feng FEI Wei-yin LIU
• 机 构: CollegeofInformationScienceandTechnology,2SchoolofMathematicsandPhysics
• 出 处: 高校应用数学学报：英文版（B辑）
• 发表日期: 2015年3期
• 关键词: MIXED fractional Brownian motion Wick-Ito stochastic integral SOLVENCY ratio
• 基金项目: Supported by National Natural Science Foundation of China（71171003, 71271003, and 11326121）, Natural Science Foundation of Anhui Province（1508085MA02）, Teaching Research Project of Anhui Province （201

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（？） stochastic differential equation driven by the MFBM, by the method of the stochastic calculu