| 随机利率下的N年最低保证年金 |
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| 引用本文： | 蔡井伟,杨天明,唐孝法. 随机利率下的N年最低保证年金[J]. 阜阳师范学院学报(自然科学版), 2010, 27(4) |
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| 作者姓名： | 蔡井伟 杨天明 唐孝法 |
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| 作者单位： | 江苏农林职业技术学院,基础部,江苏,句容,212400 |
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| 摘 要： | 采用维纳过程对利息力累积函数建模,研究了连续支付的N年最低保证年金现值的各阶矩.在一些特殊的死亡假设下得到了各阶矩的简洁表达式,给出了最低保证年金的一种特殊形式(分期退还年金)。
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| 关 键 词： | 最低保证年金 随机利率 维纳过程 几何Brownian运动 |
Nyears minimum guarantee annuity under stochastic interest |
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| CAI Jing-wei,YANG Tian-ming,TANG Xiao-fa. Nyears minimum guarantee annuity under stochastic interest[J]. Journal of Fuyang Teachers College:Natural Science, 2010, 27(4) |
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| Authors: | CAI Jing-wei YANG Tian-ming TANG Xiao-fa |
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| Affiliation: | CAI Jing-wei,YANG Tian-ming,TANG Xiao-fa(Department of Basic Courses,Jiangsu Polytechnic College of Agriculture and Forestry,Jurong Jiangsu 212400,China) |
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| Abstract: | In this paper,a model for the interest force accumulation function by Wiener process is established.Based on the model,all orders moment of present value of the N years minimum guarantee annuity are given.The concise expressions are given in some special mortality hypotheses,and a special form of the annuity is also considered. |
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| Keywords: | minimum guarantee annuity stochastic interest Wiener process geometric Brownian motion |
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