个体相关性对多生命模型影响的敏感性分析(英文)  

Sensitivity Analysis of Multi-life Models for the Correlation Structure among the Individuals

作　　者：杨静平[1,2] 陈治津[2] 吴岚[2] 

机构地区：[1]中央财经大学精算研究院,北京100081 [2]北京大学数学科学学院,北京100871

出　　处：《数理统计与管理》2013年第4期634-645,共12页Journal of Applied Statistics and Management

基　　金：supported by the MOE of Key Research Institute of Humanities and Social Sciences in Universities(Grants No.08JJD790145);the National Basic Research Program(973 Program)of China(2007CB814905)~~

摘　　要：本文关注多生命模型的敏感性分析。我们主要考虑两种多生命模型:联合生命模型与最后生存者模型。文中分析了个体相关性结构对两种模型下净保费的影响并得到了相关的理论结果。文中的数值结果体现了相关性结构对净保费产生的重要影响。This paper focuses on the sensitivity analysis of multi-life status. We mainly consider two multi-life models, the joint-life model and the last survivor model. The influence of the individuals＇ correlation structure on the net premiums of the two models is discussed and some theoretical results are obtained. Numerical results show that correlation structure among the individuals have important influence on net premiums.

关 键 词：联合生命模型 最后生存者模型 净保费 COPULA 敏感性分析 

分 类 号：F840.62[经济管理—保险] O212[理学—概率论与数理统计]