一类随机利率下的保费计算
A Class of Premimns Calculation under the Stochastic Interest
摘要
改进了在传统保险精算中假设利率为固定常数的情况下保费的计算,对利息强度采用O-U过程和Possion过程联合建模,研究了此种随机利率下的个人纯保费的计算,模型包括n年定期的、延期h年的、按年递增的连续性的个人趸交纯保费、死亡两全保险及生存年金的计算.
Abstract
To simplify the calculation, traditional actuarial theories usually use fixed interest rate to calculate premium. But in practice, interest rate is stochastic, and risk resulting from interest rate fluctuation is important to the insurance company. The ra
关键词
随机利率/O-U过程/Possion过程/保险定价Key words
Stochastic interest/O-U process/Poisson process/Insurance pricing引用本文复制引用
出版年
2011
NETL
NSTL
万方数据