| ARMA(p,q)利率模型下的年金 |
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| 引用本文： | 佘志英,陆振华. ARMA(p,q)利率模型下的年金[J]. 复旦学报(自然科学版), 2008, 47(2): 220-223 |
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| 作者姓名： | 佘志英 陆振华 |
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| 作者单位： | 复旦大学,数学科学学院,上海,200433;复旦大学,数学科学学院,上海,200433 |
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| 摘 要： | 探讨随机投资利率情况下的年金.利用时间序列理论研究平稳的ARMA(p,q)模型下利率的期望和方差,从而得到在该模型下的年金的现值.
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| 关 键 词： | 年金 利率 期望 方差 |
| 文章编号： | 0427-7104(2008)02-0220-04 |
| 修稿时间： | 2006-03-09 |
Annuities under the ARMA(p,q) Stochastic Interest Rates |
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| SHE Zhi-ying,LU Zhen-hua. Annuities under the ARMA(p,q) Stochastic Interest Rates[J]. Journal of Fudan University(Natural Science), 2008, 47(2): 220-223 |
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| Authors: | SHE Zhi-ying LU Zhen-hua |
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| Abstract: | The purpose aims at forecasting the mean and variance of the present value of annuities when the interest rates are random variables.The stationary autoregressive and moving average (ARMA(p,q)) model is established to cover this issue. |
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| Keywords: | annuity interest rate mean variance |
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