A Class of Variable Payment Life Insurance Model with the Stochastic Interest Rate

被引：0

作者：

Jia, Niannian ^{[1
,2
]}

Hu, Yunquan ^{[1
,3
]}

Jia, Changqing ^{[2
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin, Heilongjiang, Peoples R China

[2] Harbin Engn Univ, Sch Sci, Harbin, Heilongjiang, Peoples R China

[3] Harbin Inst Technol, Sch Management, Harbin, Heilongjiang, Peoples R China

来源：

INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION, VOL 1, PROCEEDINGS | 2009年

关键词：

ANNUITIES;

D O I：

10.1109/CSO.2009.484

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In order to decrease the pricing risk of the insurance companies caused by the variable interest rate, a class of variable payment life insurance model with stochastic interest rate is proposed in this paper. By introducing a n-years variable payment endowment insurance model, a series of traditional actuarial models can be gained by changing parameters. Then, the single net premium and the level net premium are calculated with the interest force accumulated function modelled as a reflected Brownian motion and a reflected Brownian motion combined with Poisson process. Finally, the corresponding expressions of the single net premium and the level net premium with the hypothesis of de Moivre mortality are presented.

引用

页码：455 / +

页数：2