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題名:利率隨機性在年金保險上的應用
書刊名:保險專刊
作者:林麗芬
出版日期:1997
卷期:47
頁次:頁182-210
主題關鍵詞:息力息力累積函數離散型生命年金傳統型生命年金資產額份法Ornstein-uhlenbeck processWiener process
原始連結:連回原系統網址new window
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     本文以 Ornstein-Uhlenbeck process 與 Wiener process 兩種隨機過程建立息 力模型及息力累積函數模型。應用隨機性利率推導離散型確定年金的期望值與變異數,且推 導在利率及死亡率同為隨機的離散型生命年金的期望值及變異數,並介紹其他精算現值在隨 機性利率下的計算。利用經驗利率來估計各種隨機模型中的參數,及鑑定各個估計模式的合 理性及適合性。應用利率隨機性計算傳統型生命年金保險的純保費、總保費及責任準備金, 另外應用各隨機利率模型估計各年度的利率,將之應用於資產額份法上。最後分析並探討各 模型在不同的精算工作上的優缺點。
期刊論文
1.Beekman, J. A.、Fuelling, C. P.(1990)。Interest and mortality randomness in some annuities。Insurance: Mathematics and Economics,9,185-196。  new window
2.Beekman, J. A.、Fuelling, C. P.(1991)。Extra randomness in certain annuity models。Insurance: Mathematics and Economics,10,275-287。  new window
3.Boyle, P. P.(1976)。Rates of return as random variables。Journal of Risk and Insurance,43,693-713。  new window
4.De Schepper, A.、De Vylder, F.、Goovaerts, M.、Kaas, R.(1992)。Interest randomness in annuities certain。Insurance: Mathematics and Economics,11,271-281。  new window
5.De Schepper, A.、Goovaerts, M.(1992)。Some further results on annuities certain with random interest。Insurance: Mathematics and Economics,11,283-290。  new window
6.Frees, E. W.(1990)。Stochastic life contingencies with solvency considerations。Transaction of the Society of Actuaries,42,91-148。  new window
7.Panjer, H. H.、Bellhouse, D. R.(1980)。Stochastic modeling of interest rates with applications to life contingencies。Journal of Risk and Insurance,47,91-110。  new window
8.Pollard, J. H.(1976)。Premium loadings for non-participating business。Journal of the Institute of Actuaries,103,205-212。  new window
9.Parker, G.(1994)。Two stochastic approaches for discounting actuarial functions。Astin Bulletin,94(2),167-181。  new window
10.Parker, G.(1994)。Limiting distribution of the present value of a portfolio。ASTIN Bulletin,94(1),47-60。  new window
11.Pollard, J. H.(1971)。On fluctuation interest rates。Bulletin de l'Association Royal des Actuaries Beiges,66,68-97。  new window
圖書
1.方明川(1995)。個人年金保險新論。臺中:方明川。  延伸查詢new window
2.Arnold, Ludwig(1974)。Stochastic Differential Equations: Theory and Applications。John Wiley and Sons。  new window
3.Bowers, N. L. M.、Gerber, J. H. U.、Hickman, J. C.、Jones, D. A.、Nesbitt, C. J.(1986)。Actuarial Mathematics。Society of Actuaries。  new window
4.黃文璋(1995)。隨機過程。華泰書局:華泰書局。  延伸查詢new window
5.李家泉(1987)。壽險經營。李家泉。  延伸查詢new window
6.Aitchson, J.、Brown, J. A. C.(1963)。The Lognormal Distribution。Cambridge University Press。  new window
7.財政部保險司(1994)。常用保險法令彙編。  延伸查詢new window
8.Cox, D. R.、Miller, H. D.(1994)。The Theory of Stochastic Processes。London:Chapman & Hall。  new window
9.Ibbotson, Roger G.、Sinquefield, Rex A.(1992)。Stocks, Bonds, Bills and Inflation, 1992 Yearbook。Chicago:Ibbotson Associates。  new window
10.International Financial Statistics Yearbook (1980-1994)。Washington:International Monetary Fund。  new window
 
 
 
 
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