随机利率下的半连续型变额寿险模型  

Model of Semi-continuous Variable Life Insurance Under the Stochastic Interest Rate

作　　者：郭欣[1] 

机构地区：[1]上海财经大学应用数学系,上海200433

出　　处：《四川理工学院学报（自然科学版）》2012年第4期85-88,共4页Journal of Sichuan University of Science & Engineering(Natural Science Edition)

摘　　要：寿险中的利率随机问题是近来保险精算研究的热点和重点问题之一。在传统精算学基础上,对利息力服从标准Brownian运动进行建模,得到了一个半连续时间情形下的随机利率模型。在此模型下计算出了纯保费、年金和责任准备金的简洁表达式,并在De Moive假设下通过数值计算分析了相关的风险。The study on actuary model of life insurance under stochastic interest rate is becoming popular and important in actuarial studies. Based on the traditional actuarial science, the interest force is modeled with standard Brownian motion. The semi-continuous death insurance under the stochastic interest rate is built. Based on this model, the expression of net premium, annuity and reserve are calculated. Under the hypothesis of De Moire, the risk of insurance company is analyzed by numerical computing.

关 键 词：随机利率 BROWNIAN运动 精算现值 变额寿险 风险管理 

分 类 号：O211.6[理学—概率论与数理统计] F803.9[理学—数学]