Study on the Model of Insurer’s Solvency Ratio under Levy Process
[摘要] This paper studies the insurer’s solvency ratio model with the Levy process in the presence of financial distress cost. By an option pricing formula for the Levy process, the explicit formula for the expected present value of shareholder’s terminal payoff is given.
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[关键词] Levy process;Solvency ratio;Financial distress cost;Option pricing formula;Girsanov’s theorem [时效性]
