| 随机利率下的生存年金组合精算现值模型 |
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| 引用本文： | 李长林,陈敏,周勇.随机利率下的生存年金组合精算现值模型[J].系统工程,2007,25(7):116-118. |
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| 作者姓名： | 李长林 陈敏 周勇 |
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| 作者单位： | 1. 中国科学院研究生院,数学科学学院,北京,100049
2. 中国科学院,数学与系统科学研究院,北京,100080 |
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| 摘 要： | 对随机利率做了相关分析，然后在假定市场上存在多种相互独立的随机投资利率的条件下，利用时间序列得到一种推广的随机利率模型，最后根据投资组合理论得出企业年金保险中多种生存年金组合的精算现值模型。
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| 关 键 词： | 随机利率 投资组合 生存年金组合 |
| 文章编号： | 1001-4098（2007）07-0116-03 |
| 修稿时间： | 2006-10-22 |
The Life Annuity Actuarial Present Value Models of Annuity Portfolio Insurance Based on Stochastic Interest Rate |
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| LI Chang-lin,CHEN Min,ZHOU Yong.The Life Annuity Actuarial Present Value Models of Annuity Portfolio Insurance Based on Stochastic Interest Rate[J].Systems Engineering,2007,25(7):116-118. |
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| Authors: | LI Chang-lin CHEN Min ZHOU Yong |
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| Institution: | 1. School of Mathematical Sciences of GUCAS,CAS,Beijing 100049,China; 2. Academy of Mathematics and Systems Science,CAS,Beijing 100080,China |
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| Abstract: | This paper shows stochastic interest rate firstly. And supposing that there exist kinds of independent stochastic interest rates in the market, we derive another generalized stochastic interest rate model by using time series. Finally, the life annuity actuarial present value models of annuity portfolio insurance are derived through the portfolio theory. |
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| Keywords: | Stochastic Interest Rate Portfolio Life Annuity Portfolio |
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