| 基于分数跳-扩散下的寿险模型研究 |
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| 引用本文： | 王卫星,贺兴时,吴晓蕊.基于分数跳-扩散下的寿险模型研究[J].四川理工学院学报(自然科学版),2010,23(4):399-400. |
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| 作者姓名： | 王卫星 贺兴时 吴晓蕊 |
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| 作者单位： | 西安工程大学理学院,西安,710048 |
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| 摘 要： | 文章以一类随机利率的寿险模型为研究对象,改进传统的常值利率的寿险模型,在对随机利息力采用分数Brown运动和Poisson过程联合建模的基础上,讨论了年金、保费等的精算现值的计算,并给出其表达式。
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| 关 键 词： | 随机利率 精算现值 分数跳—扩散 寿险模型 |
Special Life Insurance Model with Fractional Jump-diffusion Process |
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| WANG Wei-xing,HE Xing-shi,WU Xiao-rui.Special Life Insurance Model with Fractional Jump-diffusion Process[J].Journal of Sichuan University of Science & Engineering:Natural Science Editton,2010,23(4):399-400. |
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| Authors: | WANG Wei-xing HE Xing-shi WU Xiao-rui |
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| Abstract: | A special life insurance model with stochastic interest rate was considered,by extending traditional constant interest rate model in life insurance.Interest force function is drived by fractional Brownian motion and Poisson process.Life annuity and premium of life insurance are discussed,and actuarial present values formula are obtained. |
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| Keywords: | fractional jump-diffusion process stochastic rate of interest actuarial present value |
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