本文選題：盈余過(guò)程 + 利率�。� 參考：《大連理工大學(xué)》2005年碩士論文

【摘要】：保險(xiǎn),作為商品社會(huì)中處理風(fēng)險(xiǎn)的一種有效方法,已被世界普遍采納.在現(xiàn)代保險(xiǎn) 業(yè)的發(fā)展中,科學(xué)的理論方法,特別是精算理論起著十分重要的作用.我國(guó)現(xiàn)已加入 WTO,但保險(xiǎn)業(yè)與國(guó)際接軌還有很大的差距,迫切需要引進(jìn)國(guó)際先進(jìn)的保險(xiǎn)精算理論, 并結(jié)合我國(guó)實(shí)際情況加以運(yùn)用.傳統(tǒng)的精算理論中,我們都是假定利率是確定的,然而 實(shí)際上利率具有隨機(jī)性,壽險(xiǎn)中的利率隨機(jī)性是風(fēng)險(xiǎn)產(chǎn)生的重要原因.利率波動(dòng)時(shí)產(chǎn)生 的風(fēng)險(xiǎn),對(duì)于保險(xiǎn)公司來(lái)說(shuō)是致命的.為此,本文建立了隨機(jī)利率下的綜合人壽保險(xiǎn)模 型. 本文在一般的保險(xiǎn)風(fēng)險(xiǎn)模型的基礎(chǔ)上,闡述了固定利率下模型和結(jié)果,進(jìn)一步考慮 了隨機(jī)利率因素,得到了隨機(jī)利率下的連續(xù)時(shí)間模型和離散時(shí)間模型并計(jì)算出破產(chǎn)概 率,保險(xiǎn)公司破產(chǎn)前最大盈余分布,破產(chǎn)前盈余、破產(chǎn)后赤字與破產(chǎn)前最大盈余的聯(lián)合 分布以及盈余首次達(dá)到某一水平x的時(shí)間分布問(wèn)題,使得相應(yīng)的破產(chǎn)概率及其他結(jié)論更 加具有實(shí)際意義,可作為保險(xiǎn)公司預(yù)警系統(tǒng)的一個(gè)重要指標(biāo).另外,本文還討論了一類 視利息力函數(shù)為一個(gè)布朗運(yùn)動(dòng)過(guò)程的隨機(jī)利率壽險(xiǎn)模型,同時(shí)對(duì)壽險(xiǎn)理論中的連續(xù)生存 年金和矩以及保費(fèi)計(jì)算進(jìn)行了研究.本文隨機(jī)利率的引進(jìn),降低了保險(xiǎn)公司的風(fēng)險(xiǎn)程 度,保險(xiǎn)的公平性等原則也同時(shí)得到了較好的體現(xiàn).保險(xiǎn)公司通過(guò)參數(shù)的組合選擇,在 得到不同的隨機(jī)利率下的保險(xiǎn)產(chǎn)品的同時(shí)建立了隨機(jī)優(yōu)化保險(xiǎn)模型.
[Abstract]:Insurance, as an effective way to deal with risks in commodity society, has been widely adopted in the world. In the development of modern insurance industry, scientific theoretical methods, especially actuarial theory, play a very important role. China has now joined the WTO, but there is still a big gap between the insurance industry and the international community. It is urgent to introduce international advanced actuarial theory and apply it according to the actual situation of our country. In the traditional actuarial theory, we all assume that the interest rate is determined, but in fact the interest rate is random, the interest rate randomness in the life insurance is the important reason for the risk. The risks that arise when interest rates fluctuate are fatal to insurance companies. Therefore, this paper establishes the model of comprehensive life insurance under random interest rate. On the basis of general insurance risk model, this paper expounds the model and results under fixed interest rate, and further considers the factor of stochastic interest rate. In this paper, the continuous time model and discrete time model under stochastic interest rate are obtained, and the probability of bankruptcy, the distribution of maximum surplus before bankruptcy, and the surplus before bankruptcy of insurance company are calculated. The joint distribution of the deficit after bankruptcy and the maximum surplus before bankruptcy and the time distribution of the surplus reaching a certain level x for the first time, It makes the corresponding ruin probability and other conclusions more meaningful and can be used as an important index of early warning system for insurance companies. In addition, a stochastic interest rate life insurance model with apparent interest force function as a Brownian motion process is also discussed. At the same time, the continuous survival annuity, moment and premium calculation in life insurance theory are studied. In this paper, the introduction of random interest rate reduces the risk of insurance companies, insurance fairness and other principles are also better reflected. The insurance company establishes the stochastic optimization insurance model while obtaining the insurance product under different random interest rate through the combination choice of the parameters.
【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2005
【分類號(hào)】：F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 張琳;保險(xiǎn)公司崩潰模型研究[J];經(jīng)濟(jì)數(shù)學(xué);1997年01期

，

本文編號(hào)：2049101