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Reserves under stochastic interest rates

  • ZHANG Wen-Bin
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  • Department of Mathematics , Graduate University of Chinese Academy of Sciences . Beijing. 100049

Received date: 1900-01-01

  Revised date: 1900-01-01

  Online published: 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.

Cite this article

ZHANG Wen-Bin . Reserves under stochastic interest rates[J]. Journal of University of Chinese Academy of Sciences, 2007 , 24(2) : 145 -148 . DOI: 10.7523/j.issn.2095-6134.2007.2.001

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