摘要
在Lee-Carter随机死亡率假定下,建立利率分别为ARMA(p,q)模型和Cox-Ingerson&Ross模型(简称CIR模型)的生存年金组合模型。推导出生存年金组合的精算现值。
Based on Lee-Carter mortality model,we establish a life annuity combination model in which there exist two kinds of independent stochastic interest rates model,namely,the rate satisfying ARMA（p,q） model and the rate satisfying Cox-Ingerson-Ross model.Finally,we derive the actuarial present value expression of the life annuity combination model.
出处
《系统工程》
CSSCI
CSCD
北大核心
2011年第10期108-111,共4页
Systems Engineering
