随机死亡率和随机利率模型下的权益指数年金定价研究  

The Research of Equity Index Annuity Pricing under Stochastic Mortality and Stochastic Interest Rates Model

作　　者：刘美霞[1] 

机构地区：[1]暨南大学经济学院统计学系,广东广州510632

出　　处：《江西科学》2012年第4期442-447,共6页Jiangxi Science

摘　　要：权益指数年金是一种介于固定年金和变额年金之间的混合年金,它有最小保证利率,能够实现保险的保障和投资增值的双重功能。基于短期利率的两因子Vasicek模型和死亡力带跳的Feller过程模型,采用简单点对点的方法,给出了权益指数年金价格的解析表示。The equity index annuity is a hybrid between a fixed and variable annuity that earns a minimum rate of interest,and can achieve the dual function of value-added and protection of insurance.It is based on the two-factor Vasicek model of short interest rates and Feller process with jumps of mortality,using a way of simple point-to-point,given the analytical expression of equity index annuity prices.

关 键 词：权益指数年金 两因子Vasicek模型 带跳的Feller过程 短期利率 死亡力 

分 类 号：F224.9[经济管理—国民经济]