一类随机利率模型下的年金精算现值

年金在日常生活中被广泛应用,但已往大多研究的是固定年金以及随机利率下的确定年金.本文在前人研究成果的基础上考虑了利率随机波动对生命年金的影响,运用随机利率模型,得出年金精算现值较为简单的递推关系式,并举例说明利率的随机波动对年金精算现值的影响程度,结果表明利率的波动对年金的定价影响非常大,绝对不容忽视.

Actuarial Present Values of some Annuities under Random Rates of Interest

Annuities are used frequently in our daily life,most of researches focus on annuities under fixed interest rates or don't consider death factor.In this article we discuss the effect of both random interest rates and death factor,and get some simple formulas about the present values of annuities.Then we take an example to illustrate the influence of random interest rates which shows that the effect to the annuity pricing is very large and can't be ignored.