CAJ | 학술논문

风险模型里加入利率，是基于货币的时间价值。从长期来看，利率不是固定的，而是一个随机变量。考虑一种具有随机利率的风险模型。随机利率的未来取值依赖于利率当前值，且具有均值回复的特点，故对随机利率采取Vassicek模型。通过分析带有此类随机利率的风险模型，得到利息力的联合分布、总索赔额的期望和方差的表达式。依据这些结果，可以得到未来收益和风险的更精确估计，对保险公司产品的制定具有参考意义。
풍험모형리가입리솔，시기우화폐적시간개치。종장기래간，리솔불시고정적，이시일개수궤변량。고필일충구유수궤리솔적풍험모형。수궤리솔적미래취치의뢰우리솔당전치，차구유균치회복적특점，고대수궤리솔채취Vassicek모형。통과분석대유차류수궤리솔적풍험모형，득도이식력적연합분포、총색배액적기망화방차적표체식。의거저사결과，가이득도미래수익화풍험적경정학고계，대보험공사산품적제정구유삼고의의。
Currency has time value,so the factor of interest rate is added into the model of claim amount. In the long run,interest cannot be considered as constant,but random variable. This paper puts emphasis on fluctua-tion of interest force. Current interest is influenced by prior period interest,moreover interest has a trait which is mean reversion. In this paper,the Vassicek model is selected to characterize random interest,then interest’s dis-tribution,expectation and variance of aggregative claims can be formulated. These results are not only helpful for making policy of actuary,but also significant for solving financial problems.