| 随机利率下定期寿险趸交纯保费模型 |
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| 引用本文： | 汤恒洲,刘洪. 随机利率下定期寿险趸交纯保费模型[J]. 鞍山科技大学学报, 2010, 0(3) |
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| 作者姓名： | 汤恒洲 刘洪 |
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| 作者单位： | 辽宁科技大学理学院; |
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| 基金项目： | 辽宁省自然科学基金项目(20092177) |
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| 摘 要： | 定期寿险是人寿保险体系的重要组成部分,其合理的定价受到越来越多的关注。本文依据时间序列理论,基于利息力序列条件异方差的ARMA(p,q)-GARCH(r,s)模型,针对固定保险金额的定期寿险,建立了随机利率下的定期寿险趸交纯保费的数学模型,并通过实例分析说明该模型的合理性。
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| 关 键 词： | 随机利率 趸交纯保费 ARMA(p q)-GARCH(r s)模型 定期寿险 |
Single premium model of term life insurance with stochastic interest rate |
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| TANG Heng-zhou,LIU Hong. Single premium model of term life insurance with stochastic interest rate[J]. Journal of Anshan University of Science and Technology, 2010, 0(3) |
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| Authors: | TANG Heng-zhou LIU Hong |
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| Affiliation: | TANG Heng-zhou,LIU Hong(School of Science,University of Science and Technology Liaoning,Anshan 114051,China) |
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| Abstract: | The term life insurance is an important part of life insurance system,its rational pricing has been paid more and more attention.In this paper,according to the time sequence theory,based on ARMA(p,q)-GARCH(r,s) model of the conditional heteroskedasticity of interest rate series,according to the term life insurance of fixed amount,a single premium model of term life insurance under the stochastic interest rate is established,and the significant reasonableness is illustrated by an example analysis. |
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| Keywords: | stochastic interest single premium ARMA(p q)-GARCH(r s) model term life insurance |
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