基于CIR利率的养老金计划多元衰减模型与精算现值  

Multiple Attenuation Model and Actuarial Present Value of Pension Scheme Based on CIR Interest Rate

作　　者：李浩[1] 侯为波[2] 张增林[1] 

机构地区：[1]宿州学院数学与统计学院,安徽宿州234000 [2]淮北师范大学科学技术处,安徽淮北235000

出　　处：《淮北师范大学学报（自然科学版）》2016年第1期9-11,共3页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽省教育厅教学改革与教学质量工程项目(2012zy146);宿州学院教研项目(szxyjyxm201321);宿州学院教研项目(szxyjyxm201141)

摘　　要：随着我国人口老年化问题的日趋加剧,养老金计划对于老年人口的生活保障愈显得重要.寿险精算理论在科学合理制定保险产品价格方面至关重要.利率是影响价格的最重要因素之一.从长期来看,利率随时间的变化而波动,具有很强的随机波动性.文章考虑利用具有随机波动特性的CIR利率模型,建立养老金多元衰减模型,进而获得延期年金的精算现值解析式.With the problem of astogeny getting worse,pension schemes are even more vital to the living security of the old. The theory of life contingencies plays an important role in setting the scientific and reasonable prices of insurance products. The rate of interest is one of the key factors that affect prices. In the long run,the rate of interest fluctuates with time going by,enjoying strong and random volatility. To establish the multiple attenuation pattern of pension,the authors consider using the pattern of the rate of interest characterized by random and fluctuant CIR,and then gain the formula of actuarial present value of deferred annuity.

关 键 词：CIR利率 养老金计划 延期年金 多元衰减模型 

分 类 号：F840.6[经济管理—保险] F224