alexa STUDY ON THE INSURER’S SOLVENCY RATIO MODEL UNDER JUMP DIFFUSION PROCESS
Mathematics

Mathematics

Journal of Applied & Computational Mathematics

Author(s): Weiyin Fei, Hongjian Liu, Xia Dengfeng

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Opler and Titman [1], Briys and De Varenne [2], Ma et al. [3] and the references therein. A solvency model in the presence of costs of financial distress has been introduced in references [4][5][6]. Based on the Markov-modulated market [7], the solvency ratio model is further discussed in Xia et al. [8]. In this paper, we will using the pricing formula for European options to study the insurer's solvency ratio, as we know, in 1973, Black and Scholes [9] provided the famous pricing formula for European options under the assumptions that the risk-free bond price 0 : [0, ] ∈ "

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This article was published in Journal of Mathematics and referenced in Journal of Applied & Computational Mathematics

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