Vassicek模型下的风险模型

Research on Risk Model Based on Vassicek Model

风险模型里加入利率,是基于货币的时间价值.从长期来看,利率不是固定的,而是一个随机变量.考虑一种具有随机利率的风险模型.随机利率的未来取值依赖于利率当前值,且具有均值回复的特点,故对随机利率采取Vassicek模型.通过分析带有此类随机利率的风险模型,得到利息力的联合分布、总索赔额的期望和方差的表达式.依据这些结果,可以得到未来收益和风险的更精确估计,对保险公司产品的制定具有参考意义.

Currency has time value,so the factor of interest rate is added into the model of claim amount. In the long run,interest cannot be considered as constant,but random variable. This paper puts emphasis on fluctuation of interest force. Current interest is influenced by prior period interest,moreover interest has a trait which is mean reversion. In this paper,the Vassicek model is selected to characterize random interest,then interest＇s distribution,expectation and variance of aggregative claims can be formulated. These results are not only helpful for making policy of actuary,but also significant for solving financial problems.