随机利率寿险模型  

LIFE INSURANCE MODEL WITH STOCHASTIC INTEREST

作　　者：吴金文[1] 杨静平[2] 周俊[2] 

机构地区：[1]中国保险管理干部学院,长沙410114 [2]北京大学金融数学系,北京100871

出　　处：《经济数学》2001年第3期1-8,共8页Journal of Quantitative Economics

基　　金：中国教育基金会资助项目 ( 1 999-2 0 0 1 )

摘　　要：本文针对随机利率寿险模型 ,考虑一保单组的平均给付额的性质 .通过对模型的结果分析 ,可以看出投保人数的增加 ,并未降低随机利率的风险 .本文针对一特殊的随机利率模型 。This paper concentrates on life insurance model with stochastic rate of interest, we discuss the properties of average claim amount in a portfolio of policies. By analyzing the results of the model, we can see, with the increase of the number of insured, the risk of stochastic rate of interest cannot be reduced, considering a special model of stochastic rate of interest, we compare the cost of average claim between stochastic rate of interest and constant rate of interest.

关 键 词：随机利率 寿险模型 精算现值 保险 保费 

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