The Actuary Pricing of an Innovative Housing Mortgage Insurance

CHEN Liping, LI Chen

Abstract


Give an innovative design for housing mortgage insurance in the basis of the guarantee insurance, then obtain the pricing formula of the innovative mortgage insurance by using the method of insurance actuary pricing, when the property value is driven by general O-U process.

Key words: Mortgage; Insurance; Insurance actuary pricing

Keywords


Mortgage; Insurance; Insurance actuary pricing

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References


CHEN Liping, & YANG Xiangqun. (2007). Pricing Mortgage Insurance with House Price Driven by Poisson Jump Diffusion Process. Chinese Journal of Applied Probability and Statistics, 23(4), 345­-351.

LI Chen, CHEN Liping, & YANG Xiangqun. (2009). Martingale Pricing of Insurance Under the Combination of Stochastic Volatility and Jump Diffusion. Systems Engineering, 27(3), 41-45.

LI Chen, & CHEN Liping. (2009). Pricing Mortgage Insurance Under O-U Process. Mathematics in Practice and Theory, 39(4), 21-26.

Bladt M T, & Rydberg H. (1998). An Actuarial Approach to Option Pricing Under the Physical Mea­sure and Without Market Assumption. Insurance: Mathematics and Economics, 22(1), 65-73.




DOI: http://dx.doi.org/10.3968/j.pam.1925252820110201.Z40

DOI (PDF): http://dx.doi.org/10.3968/g1791

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