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### Net premium reserve in life insurance under Vasicek model with jumps

Chun-yan SONG2,Shi-long LI3,*()

1. 1. School of Account, Shandong University of Finance and Economics, Jinan 250014, Shandong, China
2. School of Mathematic and Quantitative Economics, Shandong University of Finance and Economics, Jinan 250014, Shandong, China
3. School of Insurance, Shandong University of Finance and Economics, Jinan 250014, Shandong, China
• Received:2019-10-14 Online:2020-09-20 Published:2020-09-17
• Contact: Shi-long LI E-mail:lishl@sdufe.edu.cn

Abstract:

Considering the characteristics of random volatility with jumps of market interest rates, both compound Poisson process and Ornstein-Uhlenbeck process are utilized to describe the stochastic jumps and random continuous changes of interest rates respectively. A Vasicek interest model with Poisson jumps is obtained by coupling the two kinds of stochastic processes. The mathematical expressions of the cumulative interest force function and the expected discount function of money under the model are studied. At the same time, the corresponding numerical analysis is given. Based on this interest model, the calculation of the net premium reserves of life insurance products is further studied

CLC Number:

• F224.7
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