摘要
文章在随机利率条件下,先讨论了随机利率下的期初付n年期确定年金现值的分布、期望及方差的一般表达式.然后假设利率服从Wiener过程,将得到一般结果应用于特殊情况.
The article is to deduce the accummulative distribution function as well as the mean and variance of the present alue for n - year term certain annuity with stochastic interest reate. The concrete expressions of the expected value and the variance are derived when the stochastic interest rate model is simulated with Wiener process.
出处
《淮北煤炭师范学院学报（自然科学版）》
2009年第1期35-37,共3页
Journal of Huaibei Coal Industry Teachers College(Natural Science edition)
关键词
保单组
年金
现值
随机利率
WIENER过程
portfolio of policies
annuity
present value
stochastic interest rate
Wiener
