摘要
对于年金的定价问题的研究,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,采用MA(2)模型来刻画利率期限机构,在此基础上,研究了期末付复递增年金的各阶矩问题,推导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此年金面临的利率风险,其结论对年金定价有一定的参考价值.
In the research of annuity pricing,interest rate is usually assumed to be invariable in traditional actuarial theory.Yet for various reasons,the interest rate can sometimes fluctuate quite unexpectedly.Therefore,MA（2） is adopted to characterize the interest rates duration institute,based on which,every discrepancy of the end-of-term compound increasing annuity is put under discussion,and simplistic formulas for the expectation and variance of current value is worked out.By numerical simulation,interest rate risk of such annuity is analyzed;the conclusion reached is to serve as the reference for annuity pricing.
出处
《内江师范学院学报》
2012年第4期64-66,共3页
Journal of Neijiang Normal University
基金
山西省软科学研究项目(2011041002-04)
院科研基金项目(BM2009004)
关键词
随机利息力
年金
期望
利率风险
stochastic interest force
annuity
expectation
interest rate risk
