分数布朗运动下的寿险模型 |
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引用本文: | 吴晓蕊,薛红,王卫星. 分数布朗运动下的寿险模型[J]. 佳木斯工学院学报, 2010, 0(2): 195-197 |
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作者姓名: | 吴晓蕊 薛红 王卫星 |
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作者单位: | 西安工程大学理学院,陕西西安710048 |
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基金项目: | 陕西省教育厅自然科学专项基金资助项目(09jK464). |
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摘 要: | 以一类随机利率的寿险模型为对象,在对随机利率采用分数Brown运动建模的基础上,讨论了年金、保费等精算现值计算,并给出了较为简洁的表达式,得到更切实际的研究成果,达到规避利率风险的作用.
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关 键 词: | 随机利率 分数布朗运动 精算现值 |
Life Insurance Model in Fractional Brownian Motion Environment |
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Affiliation: | WU Xiao - rui, XUE Hong, WANG Wei - xing ( School of Science, Xi'an Polytechnic University, Xi'an 710048, China) |
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Abstract: | The life insurance model with stochastic interest rate is considered. Interest force function is drived by fractional Brownian motion. Life annuity and premium of life insurance are discussed, and actuarial present values formula are obtained. The result obtains tallies with the reality and has a more widespread function. |
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Keywords: | stochastic interest rate fractional Brownian motion actuarial present value. |
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