一类随机利率下的变额寿险模型

A model of variable life insurance with stochastic interest rates

以反射布朗运动和泊松分布为基础,建立了一个半连续时间情形下的随机利率的模型.在此模型下对寿险理论中的纯保费、年金和责任准备金进行研究,不仅可以保证利率的恒正性,还可以通过参数调节有效地控制利率随机波动的幅度,从而在一定程度上降低利率风险的影响.

A semi-continuous model for stochastic interest has been established,which is done according to reflected Brownian motion and Poisson process.Based on this model,the premium,annuity and reserve of the life insurance theory have been studied.Then not only the interest rate can be guaranteed to be positive,but also the volatility of stochastic interest rate can be controlled effectively by adjusting parameters,so that the impact of interest rate risk may be reduced to some extent.