| 一类随机利率下的变额寿险模型 |
| |
| 引用本文： | 李昕. 一类随机利率下的变额寿险模型[J]. 郑州轻工业学院学报(自然科学版), 2011, 26(2): 121-124 |
| |
| 作者姓名： | 李昕 |
| |
| 作者单位： | 郑州轻工业学院数学与信息科学系,河南,郑州,450002 |
| |
| 摘 要： | 以反射布朗运动和泊松分布为基础,建立了一个半连续时间情形下的随机利率的模型.在此模型下对寿险理论中的纯保费、年金和责任准备金进行研究,不仅可以保证利率的恒正性,还可以通过参数调节有效地控制利率随机波动的幅度,从而在一定程度上降低利率风险的影响.
|
| 关 键 词： | 随机利率 反射布朗运动 泊松分布 变额寿险 精算现值 |
A model of variable life insurance with stochastic interest rates |
| |
| LI Xin. A model of variable life insurance with stochastic interest rates[J]. Journal of Zhengzhou Institute of Light Industry(Natural Science), 2011, 26(2): 121-124 |
| |
| Authors: | LI Xin |
| |
| Affiliation: | LI Xin(Dept.of Math.and Infor.Sci.,Zhengzhou Univ.of Light Ind.,Zhengzhou 450002,China) |
| |
| Abstract: | A semi-continuous model for stochastic interest has been established,which is done according to reflected Brownian motion and Poisson process.Based on this model,the premium,annuity and reserve of the life insurance theory have been studied.Then not only the interest rate can be guaranteed to be positive,but also the volatility of stochastic interest rate can be controlled effectively by adjusting parameters,so that the impact of interest rate risk may be reduced to some extent. |
| |
| Keywords: | stochastic interest rate reflected Brownian motion Poisson process variable life insurance actuarial present value |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
