| 一类投资连结保单定价模型中自由边界的渐近性态 |
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| 引用本文： | 陈杰.一类投资连结保单定价模型中自由边界的渐近性态[J].复旦学报(自然科学版),2004,43(3):323-328,335. |
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| 作者姓名： | 陈杰 |
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| 作者单位： | 复旦大学,数学研究所,上海,200433 |
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| 摘 要： | 主要对一类允许提前退保的具有利率保障的投资连结保单定价问题的数学模型进行研究．运用偏微分方程中自由边界问题的研究方法，在关于模型参数的若干假设下，分析其提前退保最佳时刻点即自由边界的性态，以及在保单到期日附近的该自由边界的渐近性态．
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| 关 键 词： | 变分不等式 自由边界 Stefan问题 渐近性质 |
| 文章编号： | 0427-7104(2004)03-0323-06 |
Asymptotic Behavior of Free Boundary in the Model of the Value of Equity-linked Policy |
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| CHEN Jie.Asymptotic Behavior of Free Boundary in the Model of the Value of Equity-linked Policy[J].Journal of Fudan University(Natural Science),2004,43(3):323-328,335. |
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| Authors: | CHEN Jie |
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| Abstract: | The pricing model of the equity-linkde policy with early surrender,and guaranteed surrender benefits is studied.Under some hypotheses on the parameters of the model,it analyze the characters of the free boundary, which corresponds to the optimal time to surrender,by the method of tree boundary problem in partial differential equation.Then it ponders the asymptotic behavior of the free boundary near the expiry date of policy. |
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| Keywords: | variational inequality free boundary Stefan problem asymptotic behavior |
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