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›› 2007, Vol. 24 ›› Issue (2): 145-148.DOI: 10.7523/j.issn.2095-6134.2007.2.001

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Reserves under stochastic interest rates

ZHANG Wen-Bin   

  1. Department of Mathematics , Graduate University of Chinese Academy of Sciences . Beijing. 100049
  • Received:1900-01-01 Revised:1900-01-01 Online:2007-03-15

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

CLC Number: