随机利率下保单组的准备金精算模型

Benefit Reserve Models for Portfolio of Policies with Stochastic Interest Rate

针对同质寿险保单组,分别建立了确定利率与随机利率准备金精算模型。通过对比分析,发现保单数的增加会降低死亡率风险,但不会减小利率风险。对于平均未来损失额的近似值,给出了其前二阶矩的一般表达式,以及一个具体的利率模型下的表达式。

This paper develops benefit reserve models with deterministic and stochastic interest rate for a homogeneous portfolio of life insurance policies. By comparison, it is found that the mortality risk is reduced and the interest rate risk stays the same with the increase of the number of insured. At the same time, this paper presents the general expressions of the first two order moments for the approximation of the average prospective loss random variable and the corresponding expressions under a certain interest rate model.