一类随机利率的精算现值模型研究

A Study on the Actuarial Present Value Model under Stochastic Interest Rate

在金融工程学中会遇到各种风险问题,其中涉及到利率风险,随着人们对保险精算寿险的利率随机性问题的深入研究,采用Brown过程和Gauss过程建模已较为普遍.文章利用应用随机过程中的Ito公式及矩阵理论,建立了连续的时间情形下的精算模型,并给出表达式.

In financial engineering, we have studied how to hedge for a variety of risks including rate risk. As the peoples have a deeply research to life insurance model with stochastic rate of interest. It is popular that set models with Gauss process and Brown process. In this paper, we used Ito formula in applied stochastic process and matrices theory to set actuarial models in the conditional of time series, and get four theorems.