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基于ARMA(p,q)利息力生存年金精算现值模型
引用本文:解强,李秀芳.基于ARMA(p,q)利息力生存年金精算现值模型[J].数学的实践与认识,2009,39(3).
作者姓名:解强  李秀芳
作者单位:南开大学,经济学院,天津,300071
摘    要:企业年金是养老保险体系的重要组成部分,其定价的合理性正受到越来越多的关注.主要是基于一般的ARM A(p,q)模型得到了随机利率下生存年金的精算现值模型,分别给出了年金给付的一阶矩和二阶矩,这对年金保险的合理收费和避免收不抵支情况的出现具有重要的指导意义.

关 键 词:ARMA  年金  精算

The Life Annuity Actuarial Present Value Models Based on ARMA(p,q) Force of Interest Rate
XIE Qiang,LI Xiu-fang.The Life Annuity Actuarial Present Value Models Based on ARMA(p,q) Force of Interest Rate[J].Mathematics in Practice and Theory,2009,39(3).
Authors:XIE Qiang  LI Xiu-fang
Abstract:It is an important part for annuity to social security system.Its rational pricing has been paid more attention.This article gets the actuarial present value of stochastic interest rate on the base of ARMA(p,q) model.And we prove the first and the second moment of the force interest rate.It is significant to rationally price and avoid revenue and payout unequal.
Keywords:ARMA
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