人寿保险中随机Thiele微分方程的另一方法及应用(英文)  

Another Approach to Stochastic Thiele's Differential Equation in Life Insurance and Applications

作　　者：尹居良[1,2] 周玉丽[3] 汪荣明[3] 

机构地区：[1]中山大学 [2]暨南大学,广州510632 [3]华东师范大学

出　　处：《应用概率统计》2001年第1期19-26,共8页Chinese Journal of Applied Probability and Statistics

摘　　要：本文针对人寿保单被描述为时间非时齐的马氏链情形，较之文 ［７］更一般的假设条件下，给出了 鞅 Ｍ（ｔ）＝Ｅ［Ｖ０｜Ｆｔ］的局部平方可积鞅的表示性，该方法不同于文［４］的方法．由此得到了随机Ｔｈｉｅｌｅ微分方程，而且给出损失方差的一般表示．文章最后通过赔偿依赖于准备金的寡妇养老金例子说明了随机Ｔｈｉｅｌｅ微分方程的应用．The paper provides the local square integrable martingale representation of martingale M(t) = E(V0|Ft) to the situation where a life insurance policy is modelled as a time-inhomogeous Markov chain with a finite state space under more general assumption than Norberg's, which is hot similar to Mφller. As a byproduct, stochastic Thiele's differential equation is obtained, moreover, a general representation is given for the variance of the losses. At last, the application of stochastic Thiele's differential equation is illustrated by an example relating to widow's pension on which the payments depend on reserves.

关 键 词：局部平方可积鞅 马氏链 随机THIELE微分方程 损失方差 人寿保险 

分 类 号：F840.62[经济管理—保险] O211.63[理学—概率论与数理统计]