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sui ji li lv xia shou xian ding jia fen xi
Author(s): 
Pages: 
Year: Issue:  2
Journal: Heilongjiang Foreign Economic Relations & Trade

Keyword:  随机利率维纳过程定价;
Abstract: 利率作为一项重要的货币政策工具,越来越频繁地被各国央行所使用.利率的频繁变动导致许多行业基于利率的系统风险越来越大,而且这种系统风险是外生变量,很难通过自身的业务予以化解,保险业是受利率影响非常大的行业.在传统的寿险保费计算过程中,保险公司会预先设定一固定的预定利率,然后在此预定利率下计算被保险人应缴纳的保费.预定利率一经确定,往往也确定了一个保单长时间的利率水平,当利率波动加剧,偏离预定利率较大时,就会给保险人或者被保险人带来损失.利用维纳对利息率函数建模,并将模型应用到保费计算中,代替传统的保费精算模型,可有效地降低保险公司基于利率的风险.
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