| 一类随机利率下的保费计算 |
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| 引用本文： | 李晓飞,李响,余俊. 一类随机利率下的保费计算[J]. 科技信息, 2011, 0(21): I0147-I0147,I0143 |
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| 作者姓名： | 李晓飞 李响 余俊 |
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| 作者单位： | [1]中国矿业大学徐海学院,江苏徐州221008 [2]辽宁科技大学理学院,辽宁鞍山114001 |
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| 摘 要： | 改进了在传统保险精算中假设利率为固定常数的情况下保费的计算,对利息强度采用O-U过程和Possion过程联合建模,研究了此种随机利率下的个人纯保费的计算,模型包括n年定期的、延期h年的、按年递增的连续性的个人趸交纯保费、死亡两全保险及生存年金的计算.
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| 关 键 词： | 随机利率 O-U过程 Possion过程 保险定价 |
A Class of Premimns Calculation under the Stochastic Interest |
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| LI Xiao-fei,LI Xiang,YU jun. A Class of Premimns Calculation under the Stochastic Interest[J]. Science, 2011, 0(21): I0147-I0147,I0143 |
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| Authors: | LI Xiao-fei LI Xiang YU jun |
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| Affiliation: | 1.Xuhai college, China university of Mining and Technology, Xuzhou Jiangsub 221008; 2.College of Sciences, University of Science and Technology LiaoNing, Anshan Liaoning, 114001) |
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| Abstract: | To simplify the calculation, traditional actuarial theories usually use fixed interest rate to calculate premium. But in practice, interest rate is stochastic, and risk resulting from interest rate fluctuation is important to the insurance company. The random interest model is established through O-U process and Poisson process on the interest strength and then the premium calculations are obtained under the interest model in this paper. |
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| Keywords: | Stochastic interest O-U process Poisson process Insurance pricing |
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