随机利率下递增型生存年金  

Increasing life annuities under stochastic interest rate

作　　者：谢杰华[1] 邹娓[1] 

机构地区：[1]南昌工程学院理学系,江西南昌330099

出　　处：《南昌工程学院学报》2009年第6期4-8,共5页Journal of Nanchang Institute of Technology

基　　金：南昌工程学院青年基金项目(2008KJ024)

摘　　要：研究了随机利率情形下关于递增型生存年金的随机模型.采用Gauss过程对利息力累积函数建模,得到了该利率模型下生存年金给付现值各阶矩的一般表达式.当利息力累积函数采用Ornstein-Uhlenbeck过程建模,死亡分布服从指数分布和De Moivre分布时,给出了各阶矩的具体表达式.The increasing life annuity under stochastic interest rate is studied. The authors established a model for the accumulation function of the force of interest with Gauss process,and obtained the general expression of all order moments of present value.Especially when the Ornstein-Uhlenbeck process is applied to establish a model for the cumulative function of the force of interest,with death distribution following the exponential distribution and De Moivre distribution,we obtained the concrete expression of all the order moments.

关 键 词：生存年金 随机利率 GAUSS过程 

分 类 号：O211.6[理学—概率论与数理统计] F840.6[理学—数学]