利率随机下责任准备金的矩阵模型  

A Matrix Model of Reserve With Stochastic Interest Rate

作　　者：尹晓翠[1] 顾颖茵[2] 袁冬梅[1] 

机构地区：[1]青岛农业大学理学院 [2]青岛农业大学经贸学院,山东青岛266109

出　　处：《青岛大学学报（自然科学版）》2008年第3期31-34,共4页Journal of Qingdao University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(编号:70571040;70711120204)

摘　　要：Debicka给出当利率和死亡都随机时在投保时刻保单组合现金流总现值的前两阶矩的矩阵形式,借助前两阶矩可以了解该保单组合在投保时刻的负债情况和风险情况。在此基础上,将之推广至任意时刻,给出了在任意时点年金保单组合现金流现值的前两阶矩的矩阵形式,这样便于了解在任意时点该保单组合的负债情况和风险状况。用矩阵形式表示,不仅使得表达形式简洁,而且该形式把利率因素、死亡因素及保单类型用不同元素表示,这样当死亡假设改变或利率参数改变或保单类型改变时,只需改变其中一个或几个元素即可,便于分别考察各自的影响。Debicha gived a matrix form for the first two moments of the present value of cash flow of a portfolio of policies, when the interest rate and future lifetime are both stochastic. In view of this, we can know the liability and risk of the portfolio of policies at issue time. Based on this, this article extends it in- to any moment, and points out the matrix form for the first two moments of a portfolio of annuity policies, So it is convenient to know the liability and risk of the portfolio of policies. Using matrix form can not only make form succinct, it also expresses mortality, interest rate and policy type in different elements. So in this way, when one or some of them change, we only alter one or few elements. Therefore the influence will be observed respectively conveniently.

关 键 词：利率随机 责任准备金 年金 

分 类 号：F275[经济管理—企业管理] TQ172.632[经济管理—国民经济]