| 随机波动性模型下权益联结型年金的准备金 |
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| 引用本文： | 王学金,王传玉.随机波动性模型下权益联结型年金的准备金[J].南通工学院学报(自然科学版),2013(3):78-81. |
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| 作者姓名： | 王学金 王传玉 |
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| 作者单位： | [1]滁州学院数学科学学院,安徽滁州239000 [2]安徽工程大学数理学院,安徽芜湖241000 |
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| 基金项目： | 国家自然科学基金项目（61203139） |
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| 摘 要： | 以权益联结型年金产品中的最低期满利益保证年金为研究对象，假定标的权益服从一个随机波动性模型，得到了最低期满利益保证年金在a分位数下的准备金的显式表达式．然后以2012年深成指日交易收盘价数据为样本对对数收益率进行了基本统计分析．最后对准备金的影响因子作了敏感性分析．
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| 关 键 词： | 随机波动模型 最低期满利益保证年金 分位数准备金 |
Study on Reserve of Equity-Linked Insurance with Stochastic Volatility Model |
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| Authors: | WANG Xue-jin WANG Chuan-yu |
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| Institution: | 1. School of Mathematical Science, Chuzhou University, Chuzhou 239000, China; 2. School of Mathematics and Physics, Anhui Polytechnic University, Wuhu 241000, China) |
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| Abstract: | Pricing and reserving are two significant aspects of life insurance. This paper mainly studies the guaranteed minimum maturity benefits annuity which belong to the equity-linked insurance. It is assumed that the underlying equity is subjected to a stochastic volatility model, and the explicit form of thequantile reserve is obtained. Then the basic statistical analysis with the daily Shenzhen component index in 2012 is conducted. Finally, the sensitivity analysis with the impact factors of the quantile reserve is done to provide the result. |
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| Keywords: | stochastic volatility model guaranteed minimum maturity benefits annuity （GMMBA） quantile reserve |
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