基于随机利率的变额寿险精算研究  

Actuarial Study of Variable Life Insurance under Stochastic Interest Rate

作　　者：张潇怡[1] 

机构地区：[1]北方工业大学经济管理学院,北京100144

出　　处：《北方工业大学学报》2012年第1期60-62,共3页Journal of North China University of Technology

摘　　要：以即时给付的n年定期变额寿险为研究对象,对随机利率采用双随机性,利用反射布朗运动与泊松过程联合建模,得到了随机利率模型下纯保费及各阶矩的具体表达式.Stochastic interest rate model with its application to the actuarial study has become a hot topic in recent years. In this paper, based on double randomness, a joint model of reflecting Brownian motion and Poisson process has been built to study the immediate payment of variable life insurance. The specific expression of pure premium and second-order moments of variable life insurance are also discussed with the stochastic interest rate model.

关 键 词：随机利率 变额寿险 精算 反射布朗运动 

分 类 号：F840[经济管理—保险]