| MA(q)利率下企业生存年金精算现值模型 |
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| 引用本文： | 高建伟,丁克诠.MA(q)利率下企业生存年金精算现值模型[J].系统工程学报,2006,21(2):131-135. |
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| 作者姓名： | 高建伟 丁克诠 |
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| 作者单位： | 1. 华北电力大学工商管理学院,北京,102206
2. 中国科学院研究生院数学系,北京,100039 |
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| 基金项目： | 国家自然科学青年基金资助项目(70501010) |
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| 摘 要： | 利用时间序列理论,将可逆MA(1),MA(2)随机利率模型推广为可逆MA(q)和一般MA(q)模型,并给出判定MA(q)模型中q阶数的计算步骤.根据缴费预定型养老金精算现值理论,分别得到可逆MA(q)和一般MA(q)随机利率模型下退休职工一单位元生存年金的精算现值模型.利用中国城镇职工从业生命表和相应精算现值模型,可计算给付企业年金的期望水平.
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| 关 键 词： | 缴费预定型 随机利率 企业生存年金 养老金 精算现值 |
| 文章编号： | 1000-5781（2006）02-0131-05 |
| 收稿时间： | 2004-07-19 |
| 修稿时间： | 2004-07-192005-04-11 |
Actuarial present value models of enterprise life annuity based on MA(q) interest rate |
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| GAO Jian-wei,DING Ke-quan.Actuarial present value models of enterprise life annuity based on MA(q) interest rate[J].Journal of Systems Engineering,2006,21(2):131-135. |
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| Authors: | GAO Jian-wei DING Ke-quan |
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| Institution: | 1. School of Business Administration, North China Electric Power University, Beijing 102206, China; 2.Department of Mathematics, Graduate School of the Chinese Academy of Sciences, Beijing 100039, China |
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| Abstract: | In this paper,based on the time series theory,the reversible MA(1) and MA(2) stochastic interest rate models are generalized into reversible MA(q) and common MA(q) models,moreover,the calculation steps of determining the q order in MA(q) model are given.According to the defined contribution pension actuarial present value theory,the present actuarial value models of one unit life annuity under relevant stochastic interest rate of reversible MA(q) and general MA(q) models are derived,furthermore,based on the China town employee life table and the relevant present actuarial value models,the expect level of paying the enterprise life annuity can be calculated. |
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| Keywords: | defined contribution stochastic interest rate enterprise life annuity pension actuarial present value |
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