随机利率模型

Vasicěk随机利率模型下指数O-U过程的幂型期权鞅定价

Pricing European Power-function Option Under Exponential Ornstein-Uhlenbeck Process and Vasic ě k Interest Rate with Martingale Method

本文基于Hull-White随机利率模型建立了可转换债券的双因素定价方程，针对可转换债券的特性提出了相应的边界条件。

This paper presents the two-factor valuation model for convertible bond based on Hull-White stochastic interest rate model , in addition to the corresponding boundary conditions .

对常见的随机利率模型Vasciek模型和CIR模型，证明了随机期度与随机利率之间存在着反向的变动关系，从而辅证了随机期度定义的合理性。

We prove that for some typical interest rate models ( Vasciek model and CIR model ), there is a reverse change between duration and interest rate . Such a result shows that the stochastic duration is reasonably defined .

基于Hull-White随机利率模型，导出了反映利率风险和市场风险的可转换债券定价的双因素模型，Hull-White模型的优点在于能够自动适应于当前的期限结构。

Thirdly a dual factors model is deduced , which integrate the interest rate risk and market risk . The stochastic interest rate is characterized as the Hull-White model , which has an advantage of fixing the current term structure exactly .

随机利率模型下养老基金的最优化管理

Optimal Management of Pension Fund Under Term Structure Model

同时进行了数值模拟，分析了随机利率模型的合理性。

We use numerical simulation to analyze the necessity of the stochastic interest rate .

目前，随机利率模型分为连续和离散两种。

Currently , the stochastic interest rate model is divided into two , continuous and discrete .

从而，减少利率不确定性的更好的办法就是采用随机利率模型。

Therefore , the better way to solve this problem is to use random rate model .

讨论带有收益保障的养老金计划在随机利率模型下的优化管理问题。

This paper deals with the optimal management of the pension fund with guarantee under CIR model .

根据保险精算学原理推导了随机利率模型下的寿险产品的精算模型；

Actuarial models of life insurance products with stochastic interest rate are deduced according to the actuarial insurance theory .

本文试图在现有的随机利率模型的基础上增加随机死力的影响，构建出一个比较完善的随机化精算模型。

This paper attempts to build a random actuarial model by increasing the impact of the varying of life table .

第二部分对第一部分进行拓展，引入随机利率模型，建立以股票价格和利率为基础变量的双因素定价模型，利用鞅方法得出定价公式。

The second part introduces the random interest rate model , and establishes the two-factor pricing model of CBs based on underlying variables : interest rate and stack , using the Martingale method for solution .

论文对利率波动的分析并不是单单为了分析对其对寿险定价的影响，而是为了说明随机利率模型是与利率波动水平相关的函数。

Thesis on the analysis of fluctuations in interest rates is not only to analyze its impact on the life insurance pricing , but to illustrate the stochastic interest rate model interest rate volatility associated with the level of function .

包含Jump过程的仿射随机波动利率模型及其应用研究

The Affine Stochastic Volatility Interest Rate Model with Jump Process and Its Application

随机利率寿险模型

Life insurance model with stochastic interest

分析了固定利率精算模型的劣势和随机利率精算模型的优势，说明了在精算模型中引入随机利率模型的必要性。

The emphases are to explain the disadvantages of fixed interest rate actuarial models and the advantage of stochastic interest rate actuarial models .

本文针对随机利率寿险模型，考虑一保单组的平均给付额的性质。

This paper concentrates on life insurance model with stochastic rate of interest , we discuss the properties of average claim amount in a portfolio of policies .

在一般化随机利率复合Poisson模型的基础上，进一步考虑了广义复合Poisson风险模型的破产概率，使得相应的破产概率更具有实际意义。

On the basic of general compound Poisson model with stochastic interest , the ruin probability in the generalized compound Poisson risk model with stochastic interest is considered so that the probability of ruin has more significance in practice .

一类随机利率的寿险模型

A Special Life Insurance Model with Stochastic interest rate

马尔可夫状态转换加随机波动瞬时利率模型实证研究

An Empirical Study of Stochastic Volatility Diffusion Model of Short-term Interest Rates with Markov-Switching

针对同质寿险保单组，分别建立了确定利率与随机利率准备金精算模型。五、发展的模式；

This paper develops benefit reserve models with deterministic and stochastic interest rate for a homogeneous portfolio of life insurance policies .

本文致力于研究带随机利率的风险模型的破产问题，带常利率经典的风险模型的分红问题和保费收入随机化的风险模型的破产问题。

This dissertation is devoted to study the ruin problems in the risk model with stochastic rates of interest , the dividend problems in the risk model with constant interest and the ruin problems in the risk model with stochastic income of premium .

随机利率离散时间风险模型的破产问题

Ruin Problems for the Discrete Time Risk Model under Stochastic Rates of Interest

一类具有随机利率的跳扩散模型的期权定价

The option pricing for a kind of Jump-Diffusion models with stochastic interest rate

随机利率下的消费模型

A consumption model with a random interest

股票债券市场中一般的随机规划问题短期利率模型在上交所债券市场上的实证分析

ON STOCHASTIC PROGRAMMING PROBLEM IN SECURITY MARKETS Empirical analysis of short interest rate models with half-year interest rate in the Shanghai Stock Exchange