随机利率下投资连结保单准备金的提取及模拟  

On the Reserving for Unit-linked Policy with Stochastic Interest and Simulation

作　　者：陈雪东[1] 

机构地区：[1]湖州师范学院理学院,湖州313000

出　　处：《应用概率统计》2004年第1期54-58,共5页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金(19831020)资助.

摘　　要：具有分离基金的保险产品的责任准备金提取有别于传统的精算方法.本文在对一类投资连结保单的现金流推算的基础上,讨论了在随机利率环境下其准备金的提取,并就具体的数值例子进行了模拟计算.本文所涉及的情况与实务较为相符,可作为利润测试或敏感性分析的一种方法.Reserving for segregated fund insurance contracts are difference from traditional actuarial method. In this paper, based on the cash flow projection for a kind of unit-linked policy, we discuss the reserving for it with stochastic environment, then giving a simulation and calculation of numerical example. The method and case dealing with in this paper are more correspond with practice and can be used in profit testing or sensitivity analysis.

关 键 词：投资连结保险 准备金 现金流 随机模拟 

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