基于ARMA(p,q)利息力生存年金精算现值模型  

The Life Annuity Actuarial Present Value Models Based on ARMA(p,q) Force of Interest Rate

作　　者：解强[1] 李秀芳[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《数学的实践与认识》2009年第3期74-79,共6页Mathematics in Practice and Theory

摘　　要：企业年金是养老保险体系的重要组成部分,其定价的合理性正受到越来越多的关注.主要是基于一般的ARM A(p,q)模型得到了随机利率下生存年金的精算现值模型,分别给出了年金给付的一阶矩和二阶矩,这对年金保险的合理收费和避免收不抵支情况的出现具有重要的指导意义.It is an important part for annuity to social security system. Its rational pricing has been paid more attention. This article gets the actuarial present value of stochastic interest rate on the base of ARMA（p,q） model. And we prove the first and the second moment of the force interest rate. It is significant to rationally price and avoid revenue and payout unequal.

关 键 词：ARMA 年金 精算 

分 类 号：F840[经济管理—保险] F224