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A Class of Mortgage Insurance Pricing

  • Yingqiu Li
  • Zhonghui Zheng
  • Xiaobing Yan
  • Yue Yin
Conference paper
Part of the Advances in Intelligent and Soft Computing book series (AINSC, volume 78)

Abstract

The mortgage insurance pricing problem is studied when the interest rate is modeled by vasic̆ek model and with m stochastic disturbances. Meanwhile, the process of house prices subjects to the jump-diffusion process. Using the principle of the option pricing, we obtain the accurate formulas of two kinds of the mortgage insurance.

Keywords

Mortgage Insurance Vasic̆ek model Jump-diffusion process 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Yingqiu Li
    • 1
  • Zhonghui Zheng
    • 1
  • Xiaobing Yan
    • 1
  • Yue Yin
    • 1
  1. 1.College of Mathematics and Computing ScienceChangsha University of Science and TechnologyChangshaChina

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