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| 随机利率下的增额寿险 | |
| 引用本文： | 王丽燕,王丽娟,杨德礼.随机利率下的增额寿险[J].运筹学学报,2006,10(4):39-48. |
| 作者姓名： | 王丽燕 王丽娟 杨德礼 |
| 作者单位： | 1. 大连大学信息工程学院,大连,116622;大连理工大学管理学院,大连,116024 2. 大连大学信息工程学院,大连,116622 3. 大连理工大学管理学院,大连,116024 |
| 摘 要： | 我们考虑即时给付的增额寿险模型,根据保费的实际投资情况以及突发事件对利率的影响,将随机利率采用反射布朗运动(RBM)和Poisson过程联合建模,给出即时给付的增额寿险的给付现值的各阶矩,并在死亡均匀分布的条件下得到矩的简洁表达式．最后用数值例子说明模型与计算方法的正确性与有效性． |
| 关 键 词： | 运筹学 随机利率 矩 支付现值 增额寿险 反射布朗运动 Poisson过程 |
| 收稿时间： | 2006-05-09 |
| 修稿时间： | 2006年5月9日 |
Increasing Life Insurance Model under Random Rates of Interest |
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| Wang Liyan,Wang Lijuan,Yang Deli.Increasing Life Insurance Model under Random Rates of Interest[J].OR Transactions,2006,10(4):39-48. | |
| Authors: | Wang Liyan Wang Lijuan Yang Deli |
| Abstract: | We discuss the increasing life insurance that the death benefit will be paid as soon as the insured dies. We establish its dual random model in which the force interest accumulation function is joint by both reflected Brownian motion (RBM) and Poisson process, and obtain all orders of moment of the present value of the benefits. The concise expressions of moment are given in the case that death happens uniformly in every policy year, and the examples are also given. |
| Keywords: | Operations research random rates of interest moment payable present value increasing life insurance reflected Brownian motion Poisson process |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |