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随机利息力下的确定年金

Annuity pricing with stochastic interest force
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摘要 对于年金的时间价值的研究,传统精算理论假定利率是恒定不变的。但事实上,由于受到多种因素的影响,利率往往具有不确定性。因此,文中采用MA(2)模型来刻画利率期限机构,在此基础上,研究了期末付虹式年金的各阶矩问题,给出了其年金现值的期望和方差的简洁公式。通过数值模拟分析了相关参数对此年金现值的期望值的影响,其结论对年金定价有一定的参考价值。 In the study on the time value of annuities,usually the interest rate is assumed to be constant.But actually it is affected by various factors.Here,model is built to express the interest rate term structure.The moments of the final rainbow-payment-annuity is studied,and the simple formulas for the expectation and variance of present value are given.By numerical simulation,the influence of relevant parameters on the expectation of present value is analyzed.Our researches provide the useful references for the annuity pricing.
作者 安勇
出处 《长春工业大学学报》 CAS 2012年第1期21-24,共4页 Journal of Changchun University of Technology
基金 山西大学商务学院科研基金资助项目(LX2010034)
关键词 随机利息力 年金 期望 矩母函数 stochastic interest force annuity expectation moment generation function.
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