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相依情形下多生命状态年金现值的比较 被引量：1

Comparing present values of life annuity of multi-life status under different dependent structure
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摘要 在多生命状态各个体余寿相依的情形下,通过比较边际分布或相依结构,研究终身年金趸缴保费精算现值的差异.采用Copula函数作为相依结构的表示,分别研究:(1)假设各投保集团个体余寿之间相依结构相同的情形下,根据余寿向量在随机序意义下的大小,比较各投保集团终身年金趸缴保费精算现值的大小;(2)假设两个投保集团个体余寿有相同的分布,但个体余寿之间相依结构不相同的情形下,比较其终身年金趸缴保费精算现值的差异. The paper mainly focuses on the present value of single premium life annuity based on the multi-life status.Considering the dependence structure of policy holders＇ surplus life,the present values of life annuity using the Copula function and stochastic order are compared.Two different cases are discussed：（1）suppose that the surplus life of multi-life statues has the same dependent structure and the different marginals distributions;（2）suppose that the surplus life of multi-life statues has the different dependent structure and the same marginals distributions.
作者 许洲 金峰 张奕
机构地区 浙江理工大学理学院 交通银行浙江省分行 浙江大学数学系
出处 《高校应用数学学报（A辑）》 CSCD 北大核心 2012年第1期33-42,共10页 Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金 国家自然科学基金(70871103 11001243) 教育部人文社会科学重点研究基地基金(11JJD790053)
关键词 COPULA函数 多生命状态 风险序 终身年金 精算现值 Copula function stochastic order multi-life status dependence present value
分类号 F840.62 [经济管理—保险]
  • 相关文献

参考文献10

  • 1Gerber H U. Life insurance Mathematics(Third Edition)[M]. New York: Springer-Verlag, 1997.
  • 2Zhang Yi He WenjiongScience College & Economic College of Zhejiang Univ.,Hangzhou 310028,China..DUAL RANDOM MODEL OF INCREASING LIFE INSURANCE FOR MULTIPLE-LIFE STATUS[J].Applied Mathematics(A Journal of Chinese Universities),2002,17(3):319-325. 被引量：1
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二级参考文献13

  • 1He Wenjiong Zhang YiEconomic College & Science College, Zhejiang Univ.(Xixi Campus),Hangzhou 310028..DUAL RANDOM MODEL OF INCREASING ANNUITY[J].Applied Mathematics(A Journal of Chinese Universities),2001,16(4):430-438. 被引量：6
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共引文献37

同被引文献7

  • 1DHAENE J,DENUIT M ,GOOVAERTS M J,et al. The co- ncept of comonotonicity in actuarial science and finance: theory[J]. Insurance: Mathematics and Economics,2002, 31(2):133-161.
  • 2DENUIT M,DHANCE J,LEBAILLY D,et al. Measuringthe impact of a depence among insured lifelengths[J].Bel- gian Actuarial Bulletin ,2001,26( 1 ) : 18-39.
  • 3DHAENE J, GOOVAERTS M J.On the dependency of risk in the individual life mode[J]. Insurance:Mathematics and Economics, 1997,19 (3) :243-253.
  • 4ZHANG Yi,WENG Cheng-guo. An application of the power approximation in multiple life insurance [J]. Insur- ance : Mathematics and Economics, 2006,38 ( 1 ) : 98-112.
  • 5NELSEN R B. An introduction to Copulas [M]. New York: Springer Verlag, 2006.
  • 6王传玉.相关结构下的两重复合状态生命模型[J].中国科学技术大学学报,2007,37(11):1383-1386. 被引量：2
  • 7李孝丰,王传玉.多重生命函数的风险序研究[J].安徽工程科技学院学报（自然科学版）,2008,23(4):65-68. 被引量：1

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高校应用数学学报（A辑）
2012年 第1期

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