死亡率相依模型下的养老保险产品的定价  

Pricing of endowment insurance products under the mortality dependence model

作　　者：陈果 梁雪[1] CHEN Guo;LIANG Xue(School of Mathematics and Physics,SUST,Suzhou 215009,China)

机构地区：[1]苏州科技大学数理学院,江苏苏州215009

出　　处：《苏州科技大学学报（自然科学版）》2020年第2期32-37,共6页Journal of Suzhou University of Science and Technology（Natural Science Edition）

基　　金：国家自然科学基金资助项目(11401419);江苏省自然科学基金资助项目(BK20140279)。

摘　　要：建立一种死亡率相依模型,并在此模型下考虑一种保险产品的定价问题。首先,建立带散粒噪声的二维机制转换跳扩散模型,其中死亡率的相依由经济环境、扩散项的相依以及共同跳决定,该模型拓展了死亡率模型。然后,在此模型下考虑涉及多个生命的养老保险产品的定价问题。利用鞅理论,对一种取决于已婚夫妇相依死亡率过程的保险产品的保费进行定价,得到了显式表达式,并进行了数值计算以阐明模型。We established a mortality dependence model and considered the pricing of an insurance product under this model.Firstly,we set up a two-dimensional Markovian regime-switching jump-diffusion model with shot noise.The mortality dependence was determined by the economic environment,the dependence of diffusion terms and the joint jumps,which extends the existing mortality model.Then under this model,we considered the pricing of endowment insurance products for multiple populations.Using martingale theory,we priced the premium of an insurance product depending on the dependent mortality process of married couples,and obtained an explicit expression.Finally,we made a numerical calculation to illustrate the model.

关 键 词：跳扩散模型 机制转换 散粒噪声过程 死亡率相依 

分 类 号：O211.6[理学—概率论与数理统计]