CAJ | 학술논문

传统的保险精算理论为了简化计算，往往假定利率是确定的。但由于企业年金是一种长期的经济行为，投保期间的政府政策、经济周期等因素都会造成利率的不确定性，从而随机利率下企业年金理论的研究逐渐成为保险精算学研究的重点与热点问题之一。本文利用时间序列理论，将常用的利息力模型AR（p）和利息力模型MA（q）进行推广，对各年的利息力δi（i=1，2，…）建立广义条件下的ARMA（p，q）模型，得出此类模型下企业年金的精算现值。最后，根据所建立的模型和所得到的精算现值进行了实例计算分析。
전통적보험정산이론위료간화계산，왕왕가정리솔시학정적。단유우기업년금시일충장기적경제행위，투보기간적정부정책、경제주기등인소도회조성리솔적불학정성，종이수궤리솔하기업년금이론적연구축점성위보험정산학연구적중점여열점문제지일。본문이용시간서렬이론，장상용적이식력모형AR（p）화이식력모형MA（q）진행추엄，대각년적이식력δi（i=1，2，…）건립엄의조건하적ARMA（p，q）모형，득출차류모형하기업년금적정산현치。최후，근거소건립적모형화소득도적정산현치진행료실례계산분석。
Usually the traditional actuarial theory is based on a fixed interest rate with a purpose to simplify calculations. However, since the employer＇s pension is a long-term economic action, the factors of government policy and economic cycles may cause interest rate to be uncertain during the period of insurance. So the study on the theory of employer＇s pension under random rates of interest has gradually become one of the hot and major problems of actuarial science. In order to make the interest rate model more realistic, the existing AR （p） model of force of interest and MA （q） model of force of interest are improved using time series theory. Conditional steady ARMA （p, q） model and generalized conditional ARMA （p, q） model are provided for the force of interest of every year δi（i=1,2,…） and the actuarial present value of discrete life annuities are derived under the model of force of interest. Finally, a case analysis is presented based on the a- bove models and actuarial present value.