| 一类随机利率的精算现值模型研究 |
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| 引用本文： | 李浩,侯为波.一类随机利率的精算现值模型研究[J].淮北煤师院学报,2009(3):1-2. |
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| 作者姓名： | 李浩 侯为波 |
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| 作者单位： | 淮北煤炭师范学院数学科学学院,安徽淮北235000 |
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| 摘 要： | 在金融工程学中会遇到各种风险问题，其中涉及到利率风险，随着人们对保险精算寿险的利率随机性问题的深入研究，采用Brown过程和Gauss过程建模已较为普遍．文章利用应用随机过程中的Ito公式及矩阵理论，建立了连续的时同情形下的精算模型，并给出表达式．
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| 关 键 词： | Gauss过程 随机利率 精算模型 |
A Study on the Actuarial Present Value Model under Stochastic Interest Rate |
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| LI Hao,HOU Wei-bo.A Study on the Actuarial Present Value Model under Stochastic Interest Rate[J].Journal of Huaibei Teachers College(Natural Sciences Edition),2009(3):1-2. |
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| Authors: | LI Hao HOU Wei-bo |
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| Institution: | (School of Mathematics Sciences, Huaibei Coal Industry Teachers College, 235000, Huaibei, Anhui, China) |
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| Abstract: | In financial engineering, we have studied how to hedge for a variety of risks including rate risk. As the peoples have a deeply research to life insurance model with stochastic rate of interest. It is popular that set models with Gauss process and Brown process. In this paper, we used Ito formula in applied stochastic process and matrices theory to set actuarial models in the conditional of time series, and get four theorems. |
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| Keywords: | Gauss process stochastic interest rate actuarial model |
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