Journal of Statistical and Econometric Methods

The Two Pricing Comparisons of Mortgage Common Insurance

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  • Abstract

    Taking advantage of martingale pricing method and insurance actuary pricing method,we obtain the martingale pricing formula and the insurance actuary pricing formula of the mortgage common insurance , when the real estate price is driven by general O-U process; Furthermore, we prove that the two pricing results is different and the insurance actuary pricing is essentially a arbitrage pricing.