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Journal of Applied & Computational Mathematics

ISSN: 2168-9679

Open Access

Study on the Model of Insurer’s Solvency Ratio under Levy Process

Abstract

Xia D and Fei W

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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