基于广义条件AR(p)利率下的生存年金精算现值模型及其应用  

THE ACTUARIAL PRESENT VALUE MODEL OF LIFE ANNUITY BASED ON GENERALIZE DCONDITIONAL AR(p) INTEREST RATE

作　　者：高建伟[1] 丁克诠[2] 

机构地区：[1]华北电力大学工商管理学院,北京102206 [2]中国科学院研究生院数学系,北京100039

出　　处：《经济数学》2004年第3期194-199,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目 (No.70 4 710 75 )

摘　　要：本文利用时间序列理论将投资利率为条件 AR(p)模型推广为广义条件 AR(p)模型 ,得到利息力模型的一阶矩和二阶矩 ;针对年末支付的定期生存年金 ,利用生存年金理论得到广义条件 AR(p)利率模型下生存年金的精算现值模型 ,这对保险人合理制定保费标准和规避风险等问题具有重要理论指导意义和实际应用价值 .In this paper, using time series theory, we improve the conditional AR(p) model into generalized conditional AR(p) model, and derive the first and the second moment of the force interst rate. Furthermore, to the term life annuity being paid at the end of year, we conclude the present value model of life annuity under relevant interest rate. These models have important theoretical significance and practical application value for the Insurance Company in solving its proper payment standard and avoiding the relevant risks.

关 键 词：生存年金 随机利率 利息力 现值 精算现值 

分 类 号：F22[经济管理—国民经济]