不同死亡率模型下基本权益指数年金定价的比较分析  

Comparative Analysis of Pricing EIA Under Different Mortality Models

作　　者：王学金[1] 王传玉[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《吉林师范大学学报（自然科学版）》2013年第1期100-102,107,共4页Journal of Jilin Normal University:Natural Science Edition

基　　金：国家自然科学基金项目(11071106)

摘　　要：随着我国人口老龄化的到来,养老问题已经成为我国当今及未来所面临的一个新的重大问题.由于传统的年金产品越来越不能满足人们的需求,这就直接导致与某种权益指数增长挂钩的权益指数年金得到很大的发展.本文主要构造了一个新的带跳死亡率模型,然后基于新模型与经典Lee-Carter模型得到的死亡率预测值对基本的包含死亡风险的权益指数年金定价进行比较分析,得到带跳的死亡率模型相对于经典Lee-Carter模型而言,可以更加精确地反映了死亡率对权益指数年金定价的影响.With the improvements of life expectancies, the endowment has become a significant problem both at present and in future. Because the traditional annuities can not satisfied the insureds＂ demand, a new kind of annuity whose profit is related to one stock index is developing quickly. We call it Equity Indexed Annuity （EIA）. This paper mainly constructs a new method modeled the mortality with jumps. Based on the predicted mortality under the new model and classic Lee-Carter model, we do the comparative analysis with the basic pricing formula of EIA which contains mortality risk. And we conclude that the new model is more suitable for pricing the EIA because it reflects the influence of mortality more accurately.

关 键 词：权益指数年金 简单点对点 带跳死亡率 条件最大似然函数 

分 类 号：O29[理学—应用数学]