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缴费预定型企业年金保险中基于滑动平均利率的生存年金精算现值模型 被引量:5

The Life Annuity Models of Defined Contributed Enterprise Annuity Insurance Based on Moving Average Interest Rate
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摘要 为解决企业合理发放养老金,避免企业养老基金出现赤字,利用时间序列和矩阵理论将投资利率为可逆MA(1),MA(2)模型推广为MA(q)模型和条件ARMA(q)模型,得到缴费预定型企业年金保险中相应利率下的生存年金的1阶矩和2阶矩,由此可确定发放企业养老金的均值和方差. In this paper, to solve the problems of the enterprise appropriate paying the pension and avoiding the deficit of pension funds, the reversible MA ( 1 ) and MA (2) models are improved into MA ( q ) and conditional ARMA( q ) models being used time series and matrices theory. Furthermore, in defined contributed enterprise annuity, the present value models of life annuity under relevant interest rate are derived, and then the mean and variance models of pension can be concluded.
出处 《系统工程理论与实践》 EI CSCD 北大核心 2006年第8期27-32,共6页 Systems Engineering-Theory & Practice
基金 国家自然科学基金(70501010)
关键词 缴费预定型企业年金 生存年金 精算现值 滑动平均 defined contributed enterprise annuity life annuity actuarial present value moving average
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参考文献19

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二级参考文献5

  • 1何文炯,蒋庆荣.随机利率下的增额寿险[J].高校应用数学学报(A辑),1998,13(2):145-152. 被引量:36
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