| 随机死亡率和随机利率模型下的权益指数年金定价研究 |
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| 引用本文： | 刘美霞.随机死亡率和随机利率模型下的权益指数年金定价研究[J].江西科学,2012,30(4):442-447. |
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| 作者姓名： | 刘美霞 |
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| 作者单位： | 暨南大学经济学院统计学系,广东广州,510632 |
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| 摘 要： | 权益指数年金是一种介于固定年金和变额年金之间的混合年金,它有最小保证利率,能够实现保险的保障和投资增值的双重功能。基于短期利率的两因子Vasicek模型和死亡力带跳的Feller过程模型,采用简单点对点的方法,给出了权益指数年金价格的解析表示。
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| 关 键 词： | 权益指数年金 两因子Vasicek模型 带跳的Feller过程 短期利率 死亡力 |
The Research of Equity Index Annuity Pricing under Stochastic Mortality and Stochastic Interest Rates Model |
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| LIU Mei-xia.The Research of Equity Index Annuity Pricing under Stochastic Mortality and Stochastic Interest Rates Model[J].Jiangxi Science,2012,30(4):442-447. |
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| Authors: | LIU Mei-xia |
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| Institution: | LIU Mei-xia(Department of Statistics,Ji′nan University,Guangdong Guangzhou 510632 PRC) |
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| Abstract: | The equity index annuity is a hybrid between a fixed and variable annuity that earns a minimum rate of interest,and can achieve the dual function of value-added and protection of insurance.It is based on the two-factor Vasicek model of short interest rates and Feller process with jumps of mortality,using a way of simple point-to-point,given the analytical expression of equity index annuity prices. |
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| Keywords: | Equity indexed annuities Two factors Vasicek model Feller process with Jumps Short interest model Mortality |
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