相依情形下继承年金精算现值的研究  

Research on Actuarial Present Value of Inheritance Annuity under Different Dependent Structure

作　　者：张兵强[1] 陶菊春[1] 

机构地区：[1]西北师范大学数学与信息科学学院,甘肃兰州730070

出　　处：《甘肃联合大学学报（自然科学版）》2012年第6期1-5,共5页Journal of Gansu Lianhe University :Natural Sciences

基　　金：国家自然科学基金项目(61062012);甘肃省教育厅基金项目(0901-08)

摘　　要：在多生命状态各个体剩余寿命相依的情形下,研究了夫妻联合型继承年金、子对父的养老型继承年金和父对子的抚养型继承年金的精算现值.本文主要利用同单调关系讨论了个体之间的相依关系对其寿命的影响,进而利用Copula函数处理了个体生命间的相依性,最后通过实例研究了夫妻联合型继承年金.研究结果表明:个体生命间的相依性程度对继承年金精算现值有着重要影响,个体间相依性程度越高,继承年金的精算现值越小,特别地,在个体剩余寿命相互独立时,继承年金的精算现值达到极大.Based on dependent multi-life status,actuarial present value of the husband and wife joint inheritance annuity,the son to father＇s endowment type inheritance annuity and the father to the children raisin type inheritance annuity was studied.The effects of individual dependence to life was analysed by basis of comonotonicity,and the dependences of individual life was settled by using Copula function,finally the husband and wife joint heritance annuity was studied.The research result indicates that dependency degree of the individual life has important influence for inheritance annuity actuarial present value,the individual dependency degree more high,inheritance annuity actuarial present value is small,especially,in the individual life remaining independent of each other,inheritance annuity actuarial present value obtained maximal.

关 键 词：继承年金 相依性 同单调 COPULA函数 随机利率 

分 类 号：F224[经济管理—国民经济]