| 随机利率下社会养老保险隐性债务的精算分析 |
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| 引用本文： | 东明,郭亚军,杨怀东. 随机利率下社会养老保险隐性债务的精算分析[J]. 系统工程, 2005, 23(5): 55-60 |
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| 作者姓名： | 东明 郭亚军 杨怀东 |
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| 作者单位： | 东北大学,工商管理学院,辽宁,沈阳,110004 |
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| 基金项目： | 科技部资助项目(2003EE550001) |
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| 摘 要： | 在利率与死亡率均为随机的背景下，对我国社会养老保险制度中的隐性债务进行分析，得到了养老金给付现值的期望值和方差，并对利率以Wiener过程建模，得到了期望值和方差的具体表达式。通过推导，得到了养老金给付现值的近似替代变量，采用Monte Carlo仿真的方法。得到了养老金给付现值及其近似替代变量的经验分布。
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| 关 键 词： | 社会养老保险 隐性债务 精算 随机利率 Monte Carlo仿真 |
| 文章编号： | 1001-4098(2005)05-0055-06 |
Actuarial Analysis of Implicit Pension debt in Social Pension System with Stochastic Interest Rate |
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| DONG Ming,GUO Ya-jun,YANG Huai-dong. Actuarial Analysis of Implicit Pension debt in Social Pension System with Stochastic Interest Rate[J]. Systems Engineering, 2005, 23(5): 55-60 |
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| Authors: | DONG Ming GUO Ya-jun YANG Huai-dong |
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| Abstract: | This paper analyzes the implicit pension debt in social pension system in a stochastic interest rate and mortality environment and acquires the expected value and the variance of the present value of the pension benefits. The concrete (expressions) of the expected value and the variance are derived when the interest rate model is constructed with Wiener (process.) The approximate random variable of the present value of the pension benefits is defined through derivation and the Monte Carlo method is used to get the empirical distributions of these two random variables. |
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| Keywords: | Social Pension Insurance Implicit Pension Debt Actuarial Science Stochastic Interest Rate Monte Carlo Simulation |
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