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Your search keyword '"Deng-Feng Xia"' showing total 2 results
Start Over Author "Deng-Feng Xia" Journal applied mathematics-a journal of chinese universities
2 results on '"Deng-Feng Xia"'

1. Estimating the shareholder’s terminal payoff based on insurer’s solvency ratio in mixed fractional Brownian market

Author

Hongjian Liu, Deng-feng Xia, and Weiyin Fei

Subjects
Stochastic differential equation, Geometric Brownian motion, Fractional Brownian motion, Present value, Solvency ratio, Applied Mathematics, Stochastic game, Stochastic calculus, Call option, Mathematical economics, Mathematics
Abstract

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-Ito stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.

Published
2015
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2. Study on the model of an insurer’s solvency ratio in Markov-modulated Brownian markets

Author

Deng-feng Xia, Yong Liang, and Weiyin Fei

Subjects
Actuarial science, Girsanov theorem, Present value, Markov chain, Valuation of options, Solvency ratio, Applied Mathematics, Stochastic game, Jump diffusion, Econometrics, Brownian motion, Mathematics
Abstract

In this paper the insurer’s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer’s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov’s theorem and the option pricing formula, the expected present value of shareholders’ terminal payoff is provided.

Published
2011
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