双分数布朗运动环境下寿险模型  

Life insurance model in bi-fractional Brownian motion environment

作　　者：高小棠 薛红[1] GAO Xiaotang;XUE Hong(School of Science,Xi’an Polytechnic University,Xi’an,710048,China)

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《纺织高校基础科学学报》2018年第4期466-472,共7页Basic Sciences Journal of Textile Universities

基　　金：国家自然科学基金(11601410);陕西省自然科学基础研究计划项目(2016JM1031)

摘　　要：在传统的保险精算理论中,假设利率为常数,但在实际环境中利率具有随机性,考虑利率的随机性,在双分数布朗运动环境下对利率进行建模,研究该模型下的年金、保费的精算现值计算问题及其解析表达式,分析利率对其结果的影响,从而减小利率随机性引起的风险.In the traditional actuarial theory,the interest rate is constant,but in the actual environment,the interest rate is stochastic.Given the randomness,the interest rate is modeled in the bi-fractional Brownian motion environment.The actuarial present value of the annuity and premium under the model and the analytic expression are studied.The effect of interest rate on the results is analyzed.Thus the risk caused by interest randomness is reduced.

关 键 词：双分数布朗运动 寿险模型 精算现值 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]