体制转换模型下巨灾权益卖权的定价研究

发布时间：2018-04-26 14:54

  本文选题：巨灾权益卖权 + 体制转换　； 参考：《应用概率统计》2017年03期

【摘要】：本文探讨体制转换跳扩散模型下巨灾权益卖权的定价问题.模型参数,包括无风险利率、保险公司股价的平均回报率和波动率均随着经济状态的变化而改变.文中假设经济环境采用一个连续时间、有限状态、可观测的马尔可夫链来刻画,从而可以将经济条件的变化考虑到产品定价中.通过体制转换Esscher变换选取一个等价鞅测度,然后通过快速傅立叶变换对巨灾权益卖权进行定价.
[Abstract]:In this paper, we discuss the pricing of catastrophe rights under the system transition jump diffusion model. The model parameters, including risk-free interest rate, the average return and volatility of the stock price of insurance companies, all change with the change of economic state. In this paper, we assume that the economic environment is characterized by a continuous time, finite state, observable Markov chain, so that the change of economic conditions can be taken into account in product pricing. An equivalent martingale measure is selected by Esscher transform and then the catastrophe rights are priced by Fast Fourier transform (FFT).
【作者单位】： 华东师范大学统计学院;
【基金】：国家自然科学基金项目(批准号:11501211) 上海市浦江人才计划项目(批准号:15PJC026) 上海市哲学社科规划青年课题(批准号:2015EJB002) 中国博士后科学基金第58批面上资助项目(批准号:2015M581564) 上海市晨光计划项目(批准号:15CG22)资助
【分类号】：F224;F840
，

本文编号：1806507