Stochastic Modelling of Interest Rates: Actuarial vs. Equilibrium Approach
研究了利率随机波动下保险函数的估值方法，分别用精算递归算法和Vasicek均衡模型处理，适用于精算师和金融分析师评估保险产品价值。
The purpose of this study is to develop a general methodology for analyzing insurance functions when interest rates are stochastic. Two alternative approaches are considered. For the actuarial case, a recursive algorithm is developed to value insurance functions for stationary as well as non-stationary interest rate processes. For the equilibrium approach, the Vasicek model for pricing zero coupon bonds is used to obtain the present value of two life insurance functions.