| 随机利率下的变额两全寿险模型 |
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| 引用本文： | 李应求,陈渠,甘柳. 随机利率下的变额两全寿险模型[J]. 南京工程学院学报(自然科学版), 2011, 0(4): 1-4 |
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| 作者姓名： | 李应求 陈渠 甘柳 |
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| 作者单位： | 长沙理工大学数学与计算科学学院;湖南商学院财政金融学院 |
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| 基金项目： | 国家自然科学基金项目(11171044);湖南省自然科学基金资助项目(11JJ2001);高等学校博士学科点专项科研基金(20104306110001);湖南省科技计划项目(2010fj6036);湖南省高等学校科研项目(08c120,09C113,09C059);湖南省研究生科研创新项目(CX2011B366) |
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| 摘 要： | 对现有的利息力模型进行改进,应用复合Poisson过程模拟银行对利率的正常调整,应用标准Brownian运动模拟随机事件对利率正常调整的干扰.在此基础上,推导出纯保费、年金、责任准备金在此随机利率下的公式.
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| 关 键 词： | 联合寿险 复合Poisson过程 标准Brownian运动 |
A Model for Variation Endowment Life Insurance under Stochastic Interest Rate |
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| LI Ying-qiu,CHEN Qu,GAN Liu. A Model for Variation Endowment Life Insurance under Stochastic Interest Rate[J]. Journal of Nanjing Institute of Technology :Natural Science Edition, 2011, 0(4): 1-4 |
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| Authors: | LI Ying-qiu CHEN Qu GAN Liu |
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| Affiliation: | 1.College of Mathematics and Computing Science,Changsha University of Science & Technology, Changsha 410004,China; 2.College of Treasury and Finance,Hunan University of Commerce,Changsha 410205,China) |
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| Abstract: | To improve the existing model for force of interest,compound Poisson process is used to simulate bank normal adjustments to interest rates,and standard Brownian motion is applied to simulate the adjustments to normal interest rates interfered by stochastic events.On this basis,a formula used to derive pure premiums,annuity and reserves under stochastic interest rates is thus worked out. |
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| Keywords: | combined life insurance compound Poisson process standard Brownian motion |
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