| 分数跳-扩散下的综合人寿保险 |
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| 引用本文： | 吴晓蕊,薛红,李军.分数跳-扩散下的综合人寿保险[J].西北纺织工学院学报,2011(1):127-130. |
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| 作者姓名： | 吴晓蕊 薛红 李军 |
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| 作者单位： | 西安工程大学理学院,陕西西安710048 |
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| 基金项目： | 陕西省教育厅自然科学专项基金资助项目（09JK464） |
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| 摘 要： | 以综合人寿保险模型为研究对象,改进传统的常值利率的寿险模型,利用分数Brown运动和Poisson过程联合对利息力建立数学模型,获得了年金,终身寿险的精算现值公式,以及几种保险产品综合起来的人寿保险模型,通过调整参数,可获得不同的保险产品.
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| 关 键 词： | 分数跳-扩散过程 随机利率 精算现值 综合寿险 |
Aggregate life insurance in fractional jump-diffusion environment |
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| WU Xiao-rui,XUE Hong,LI Jun.Aggregate life insurance in fractional jump-diffusion environment[J].Journal of Northwest Institute of Textile Science and Technology,2011(1):127-130. |
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| Authors: | WU Xiao-rui XUE Hong LI Jun |
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| Affiliation: | (School of Science,Xi′an Polytechnic University,Xi′an 710048,China) |
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| Abstract: | An aggregate life insurance model is studied.The traditional constant interest rate model is extended in life insurance.A mathematic model of interest force is established driven by fractional Brownian motion and Poisson process.The accurate present value formula for life annuity,whole life insurance and returnable premiums are obtained from this model.Through the regulation of parameters,various insurance products can be gained. |
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| Keywords: | fractional jump-diffusion process actuarial present value stochastic rate of interest aggregate life insurance |
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