论文标题
带有现金流量的人寿保险政策受到随机利率变化
Life insurance policies with cash flows subject to random interest rate changes
论文作者
论文摘要
这项工作的主要目的是为受到随机利率的储备金的储备提供一个部分微分方程，其中收益和保费直接取决于利率曲线的变化。特别是，我们允许付款流取决于隔夜技术利率的性能，也使它们成为随机性。根据保险公司在自己的投资中的收益绩效，考虑了考虑新类型的合同。当保费和福利根据Vasicek模型下的利率水平或平均值而变化并进行一些模拟计算储备储备的数值表面时，我们为储量提供明确的解决方案。我们还举例说明，当保险公司的平均收益率在某些特定的门槛下，再保险条约接管了养老金。
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate curve. In particular, we allow the payment streams to depend on the performance of an overnight technical interest rate, making them stochastic as well. This opens up for considering new types of contracts based on the performance of the insurer's returns on their own investments. We provide explicit solutions for the reserves when the premiums and benefits vary according to interest rate levels or averages under the Vasicek model and conduct some simulations computing reserve surfaces numerically. We also give an example of a reinsurance treaty taking over pension payments when the insurer's average returns fall under some specified threshold.
