随机利率下的增额寿险(英文)  

Increasing Life Insurance Model under Random Rates of Interest

作　　者：王丽燕[1] 王丽娟[1] 杨德礼[2] 

机构地区：[1]大连大学信息工程学院,大连116622 [2]大连理工大学管理学院,大连116024

出　　处：《运筹学学报》2006年第4期39-48,共10页Operations Research Transactions

摘　　要：我们考虑即时给付的增额寿险模型,根据保费的实际投资情况以及突发事件对利率的影响,将随机利率采用反射布朗运动(RBM)和Poisson过程联合建模,给出即时给付的增额寿险的给付现值的各阶矩,并在死亡均匀分布的条件下得到矩的简洁表达式．最后用数值例子说明模型与计算方法的正确性与有效性．We discuss the increasing life insurance that the death benefit will be paid as soon as the insured dies. We establish its dual random model in which the force interest accumulation function is joint by both reflected Brownian motion （RBM） and Poisson process, and obtain all orders of moment of the present value of the benefits. The concise expressions of moment are given in the case that death happens uniformly in every policy year, and the examples are also given.

关 键 词：运筹学 随机利率 矩 支付现值 增额寿险 反射布朗运动 POISSON过程 

分 类 号：O211.6[理学—概率论与数理统计]