随机利率下的连续型线性增额寿险  

Continuous linear increasing life insurance under stochastic interest rate

作　　者：赵伟[1] 

机构地区：[1]鞍山师范学院高等职业技术学院,辽宁鞍山114016

出　　处：《辽宁科技大学学报》2011年第3期235-239,共5页Journal of University of Science and Technology Liaoning

摘　　要：针对传统的精算理论假定利率不变存在的问题,以即时给付的连续线性型增额寿险为对象,对随机利率采用反射Brownian运动建模,反射Brownian运动与Poisson过程联合建模。对传统精算学中假定利率为常数进行了改进,考虑在随机利率下的利息率给付函数模型,以具体实例进行了验证。对保险公司如何合理厘定费率具有启发意义。According to the existing problems of assuming that the interest is not changed in traditional actuarial theory, a continuous linear increasing life insurance is taken as the object, the reflected Brownian modeling and the combination modeling of reflected Brownian and Poisson process are adopted for stochastic interest. The improvement is carried out for assuming that the interest is a constant in traditional actuarial theory, by considering the stochastic interest rate payments under the interest rate function model, the verification is carried out by pratical example. It has an important enlightening significance for insurance company.

关 键 词：随机利率 给付现值 增额寿险 精算学 

分 类 号：O211[理学—概率论与数理统计]