摘要
A dual random model of a portfolio of variable amount whole life anunity is set with the mth moment of the present value of benefits.and the respective expressions of the monments under the assumption that the force of interest accumulation fuction is Wiener process of Omstein-Uhlenbeck process,Furthermore,the limiting dstribution of average cost of this protfolio is discussed with the expression of the limiting distribution under the assumption that the force of interest accumulation is an independent increment process.
A dual random model of a portfolio of variable amount whole life annuity is set with the mth moment of the present value of benefits, and the respective expressions of the moments under the assumption that the force of interest accumulation function is Wiener process or Ornstein-Uhlenbeck process. Furthermore, the limiting distribution of average cost of this portfolio is discussed with the expression of the limiting distribution under the assumption that the force of interest accumulation is an independent increment process.
关键词
终身人寿保险
终身养老金政策
极限分布
随机模型
有价证券
Whole life annuity policy, Force of interest, Present value of benefit, Moment, Limiting distribution, Wiener process, Ornstein-Uhlenbeck process, Independent increment process
