一类带随机利率的生存年金组合模型  

A Type of Life Annuity Combination Models with Stochastic Interest Rates

作　　者：冉启康[1] 

机构地区：[1]上海财经大学应用数学系,上海200433

出　　处：《系统工程》2011年第10期108-111,共4页Systems Engineering

摘　　要：在Lee-Carter随机死亡率假定下,建立利率分别为ARMA(p,q)模型和Cox-Ingerson&Ross模型(简称CIR模型)的生存年金组合模型。推导出生存年金组合的精算现值。Based on Lee-Carter mortality model,we establish a life annuity combination model in which there exist two kinds of independent stochastic interest rates model,namely,the rate satisfying ARMA（p,q） model and the rate satisfying Cox-Ingerson-Ross model.Finally,we derive the actuarial present value expression of the life annuity combination model.

关 键 词：随机利率 ARMA模型 Cox-Ingerson&Ross模型 年金组合 

分 类 号：O211[理学—概率论与数理统计]