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基于随机死亡率与利率模型下的生存年金组合风险分析 被引量：6

Risk Analysis on the Portfolio of Life Annuities Based on a Model of Stochastic Mortality and Interest Rates Environment
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摘要 在L ee-Carter随机死亡率模型和AR(1)随机利息力模型条件下,建立了生存年金组合精算现值模型,并推导了年金组合现值的一、二阶矩。在利用我国死亡率经验数据估计模型参数的基础上,具体分析了一类生存年金组合,并通过年金组合现值的方差系数研究了年金组合面临的长寿风险与利率风险。 Based on Lee-Carter mortality model and AR（1） interest rates model,the present value model of the portfolio of annuities is established.The first two moments of present value for the portfolio are derived.Model parameters are estimated by the mortality data of the population in China.A general portfolio of life annuities is analyzed and the longevity risks and interest rate risks of the portfolio are examined through the coefficient of variation.
作者 张颖 黄顺林
机构地区 南京邮电大学通达学院 南京财经大学应用数学学院 中国人民大学统计学院
出处 《系统工程》 CSSCI CSCD 北大核心 2010年第9期15-19,共5页 Systems Engineering
基金 国家自然科学基金资助项目(11071109)
关键词 长寿风险 Lee-Carter模型 年金组合 Longevity Risk Lee-Carter Model Portfolio of Annuities
分类号 F840 [经济管理—保险] O212 [理学—概率论与数理统计]
  • 相关文献

参考文献13

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二级参考文献34

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共引文献20

同被引文献59

  • 1金秀,黄小原.资产负债管理模型及在辽宁养老金问题中的应用[J].系统工程理论与实践,2005,25(9):42-48. 被引量：12
  • 2高建伟,丁克诠.MA(q)利率下企业生存年金精算现值模型[J].系统工程学报,2006,21(2):131-135. 被引量：10
  • 3东明.随机利率下的联合寿险精算模型[J].系统工程,2006,24(4):68-72. 被引量：14
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系统工程
2010年 第9期

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