分数布朗环境下带随机利率的保险商偿债率模型研究

摘要

Under fractional Brownian environment,the insurer's solvency ratio model is established with a stochastic interest rate, where the insurer's financial distress cost is considered.By Girsanov's theorem and the method of the stochastic calculus of the fractional Brownian and the pricing formula of European for the fractional Brownian motion, the explicit formula for the expected present value of shareholder's terminal pay off is presented.%在分数布朗环境下,考虑保险商有金融困境成本时,建立带随机利率的保险商偿债率(SR)模型.采用Girsanov定理进行测度变换,利用分数布朗环境下的欧式看涨期权的定价公式,给出了保险商终期收益的现值.该模型扩展了现有的结果.