Study on the model of an insurer's solvency ratio in Markov-modulated Brownian markets

DOI10.1007/s11766-010-2548-2zbMath1240.91074OpenAlexW1974746823MaRDI QIDQ655745

Weiyin Fei, Yong Liang, Dengfeng Xia

Publication date: 27 January 2012

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-010-2548-2

zbMATH Keywords

Girsanov's theoremjump diffusion processfinancial distress costMarkov-modulated marketsolvency ratio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Enhancing insurer value through reinsurance optimization
• Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

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