北京大学学报(自然科学版)

关于n年期寿险的极限分布

杨静平, 吴岚   

  1. 北京大学数学学院金融数学系,北京,100871
  • 收稿日期:1996-09-28 出版日期:1997-09-20 发布日期:1997-09-20

On the Limit Distribution of n-year Term Life Insurance

YANG Jingping, WU Lan   

  1. Department of Financial Mathematics, Peking University, Beijing, 100871
  • Received:1996-09-28 Online:1997-09-20 Published:1997-09-20

摘要: 讨论了n年期寿险的总体索赔量的极限分布。在利息力为白噪声条件下,得到了极限分布的密度函数的递推公式。

关键词: 极限分布, 随机利率, 定期寿险

Abstract: Limit distribution of a homogeneous portfolio of n-year term life insurance is discussed. Under the force of interest modeled with white noise process, recursive formula for the density of the limit distribution is got.

Key words: limit distribution, random interest, term life insurance

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