| 随机利率下的联合寿险精算模型 |
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| 引用本文： | 东明.随机利率下的联合寿险精算模型[J].系统工程,2006,24(4):68-72. |
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| 作者姓名： | 东明 |
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| 作者单位： | 华南理工大学,工商管理学院,广东,广州,510640 |
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| 摘 要： | 在随机利率环境下，针对一个联合寿险产品进行讨论，推导得到了保险金给付现值的期望值和方差。给出了对利率过程和被保险人死亡时间进行随机模拟的算法，据此得到了保险金给付现值的经验分布。最后通过实例说明了上述研究结果的应用。
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| 关 键 词： | 联合寿险 随机利率 精算 随机模拟 |
| 文章编号： | 1001-4098（2006）04-0068-05 |
| 收稿时间： | 2005-11-01 |
| 修稿时间： | 2005-11-012006-01-20 |
An Actuarial Model of Combined Life Insurance with Stochastic Interest Rate |
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| DONG Ming.An Actuarial Model of Combined Life Insurance with Stochastic Interest Rate[J].Systems Engineering,2006,24(4):68-72. |
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| Authors: | DONG Ming |
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| Institution: | School of Business Administration, South China University of Technology, Guangzhou 510640, China,China |
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| Abstract: | This paper derives the expected value and variance of the present value of the benefits for a combined life insurance in a stochastic interest environment. The algorithm for simulating the interest process and the future lifetimes of the insured is presented. Based on the algorithm the empirical distribution of the present value of the benefits is acquired. In the numerical example the applications of these study outcomes are illustrated. |
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| Keywords: | Combined Life Insurance Stochastic Interest Rate Actuary Science Simulation |
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