%A Chun-yan SONG,Shi-long LI %T Net premium reserve in life insurance under Vasicek model with jumps %0 Journal Article %D 2020 %J JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) %R 10.6040/j.issn.1671-9352.0.2019.700 %P 81-88 %V 55 %N 9 %U {http://lxbwk.njournal.sdu.edu.cn/CN/abstract/article_3336.shtml} %8 2020-09-20 %X

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