一类投资连结保单定价模型中自由边界的渐近性态  

Asymptotic Behavior of Free Boundary in the Model of the Value of Equity-linked Policy

作　　者：陈杰[1] 

机构地区：[1]复旦大学数学研究所,上海200433

出　　处：《复旦学报（自然科学版）》2004年第3期323-328,335,共7页Journal of Fudan University：Natural Science

摘　　要：主要对一类允许提前退保的具有利率保障的投资连结保单定价问题的数学模型进行研究 .运用偏微分方程中自由边界问题的研究方法 ,在关于模型参数的若干假设下 ,分析其提前退保最佳时刻点即自由边界的性态 。The pricing model of the equity-linkde policy with early surrender,and guaranteed surrender benefits is studied.Under some hypotheses on the parameters of the model,it analyze the characters of the free boundary, which corresponds to the optimal time to surrender,by the method of tree boundary problem in partial differential equation.Then it ponders the asymptotic behavior of the free boundary near the expiry date of policy.

关 键 词：变分不等式 自由边界 STEFAN问题 渐近性质 利率保障 保险 最佳时刻点 

分 类 号：F840[经济管理—保险] F224