随机利率下的责任准备金

doi:10.7523/j.issn.2095-6134.2007.2.001

中国科学院大学学报 ›› 2007, Vol. 24 ›› Issue (2): 145-148.DOI: 10.7523/j.issn.2095-6134.2007.2.001

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随机利率下的责任准备金

张文彬

中国科学院研究生院数学系，北京，100049

收稿日期:1900-01-01 修回日期:1900-01-01 发布日期:2007-03-15

Reserves under stochastic interest rates

ZHANG Wen-Bin

Department of Mathematics , Graduate University of Chinese Academy of Sciences . Beijing. 100049

Received:1900-01-01 Revised:1900-01-01 Published:2007-03-15

摘要/Abstract

摘要： 本文针对按年缴费的终身寿险模型，改进传统的常值利率的准备金模型。考虑突发事件对利率的影响，利用Weiner过程和Poisson过程联合对利息力建模，求出了此时的均衡保费和准备金的表达式，并在此基础上得出了损失变量方差的表达式。

关键词: 准备金, 随机利率, Wiener过程, Poisson过程

Abstract: We extend the traditional constant interest rate reserve model in life insurance with premium paid each year until death. In consideration of abrupt events, we establish the model for the force of interest by both Wiener process and Poisson process, and get the expression for net premium、reserve and the variance for the loss variable.

Key words: reserve, stochastic interest rate, Wiener process, Poisson process

中图分类号:

F840

张文彬. 随机利率下的责任准备金[J]. 中国科学院大学学报, 2007, 24(2): 145-148.

ZHANG Wen-Bin. Reserves under stochastic interest rates[J]. , 2007, 24(2): 145-148.

随机利率下的责任准备金

Reserves under stochastic interest rates

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