随机利率下变额年金保险的精算现值  

Actuarial present value of variable life annuity under random rate of interest

作　　者：谢杰华 邹娓[2] 谢盛宜 XIE Jiehua;ZOU Wei;XIE Shengyi(School of Business Administration,Nanchang Institute of Technology,Nanchang 330099,China;School of Science,Nanchang Institute of Technology,Nanchang 330099,China;Han’s Laser Technology Industry Group Co.Ltd.,Shenzhen 518000,China)

机构地区：[1]南昌工程学院工商管理学院,江西南昌330099 [2]南昌工程学院理学院,江西南昌330099 [3]大族激光科技产业集团股份有限公司,广东深圳518000

出　　处：《南昌工程学院学报》2020年第3期88-94,共7页Journal of Nanchang Institute of Technology

基　　金：江西省社科规划项目(16YJ28);江西省高校人文社科项目(GL17248,JC17240);江西省自然科学基金资助项目(20181BAB211003,20192BAB211006);江西省教育厅科学技术研究项目(GJJ151101,GJJ151116)。

摘　　要：以变额年金保险为对象,分别利用Wiener过程和Ornstein-Uhlenbeck过程对利息力函数建模,研究了这两类随机利率模型下变额年金保险给付的精算现值,得到了给付现值各阶矩的表达式。在死亡分布分别服从De Moivre分布和指数分布的情形下,给出了给付现值各阶矩的解析表达式,为变额年金保险的定价提供了理论基础。In this paper,the variable life annuities under random rate of interest are studied.The force of interest functions are modeled with the Wiener process and the Ornstein-Uhlenbeck process,respectively,and all order moments of the present value of variable life annuities are derived.Finally,the analytical expressions are derived when the death distributions are De Moivre distributions and exponential distributions.It provides the theory foundation of the price for variable annuity insurance contract.

关 键 词：变额年金保险 随机利率 利息力 WIENER过程 ORNSTEIN-UHLENBECK过程 

分 类 号：O211.6[理学—概率论与数理统计] F840.6[理学—数学]