鏈熻波寰炴キ(y猫)璩囨牸绗叓绔犺▓绠楅鍏紡鍖附


1.鍒╃巼鏈熻波濂楁湡淇濆€间氦鏄�
(1)鐭湡鍦嬪偟鏈熻波鐨勫牨鍍规柟寮�
鐭湡鍦嬪偟鏄敤100娓涘幓涓嶅付鐧惧垎铏熺殑骞磋布鐝�(xi脿n)鐜囨柟寮忓牨鍍�锛屾鏂瑰紡绋辩偤鎸囨暩(sh霉)寮忓牨鍍�銆�
鐭湡鍦嬪偟鍫卞児=100-涓嶅付鐧惧垎铏熺殑骞磋布鐝�(xi脿n)鐜�(33)
渚嬪闈㈠€肩偤1,000,000缇庡厓鐨�3鍊嬫湀鏈熷湅鍌�锛岀暥(d膩ng)鎴愪氦鎸囨暩(sh霉)鐐�93.58鏅�锛屾剰鍛宠憲骞磋布鐝�(xi脿n)鐜囩偤100%-93.58%=6.42%锛屽嵆3鍊嬫湀鐨勮布鐝�(xi脿n)鐜囩偤6.42%÷4=1.605%锛屼篃鍗虫剰鍛宠憲浠�1,000,000×(1-1.605%)=983,950缇庡厓鐨勫児鏍兼垚浜�1,000,000缇庡厓闈㈠€肩殑鍦嬪偟銆�
(2)3鍊嬫湀姝愭床缇庡厓鏈熻波鐨勫牨鍍规柟寮�
3鍊嬫湀姝愭床缇庡厓鏈熻波鍫卞児鏅傚悓妯i噰鍙栨寚鏁�(sh霉)鏂瑰紡锛�
3鍊嬫湀姝愭床缇庡厓鏈熻波鍫卞児=100-涓嶅付鐧惧垎铏熺殑骞村瓨娆惧埄鐜�(34)
渚嬪鐣�(d膩ng)鎴愪氦鎸囨暩(sh霉)鐐�93.58鏅傦紝鍏跺惈缇╃偤璨锋柟鍦ㄤ氦鍓叉棩灏囩嵅寰椾竴寮�3鍊嬫湀瀛樻鍒╃巼鐐�(100%-93.58%)÷4=1.605%鐨勫瓨鍠�銆�
(3)涓暦鏈熷湅鍌垫湡璨ㄧ殑鍫卞児鏂瑰紡
涓暦鏈熷湅鍌垫湡璨ㄩ噰鐢ㄥ児鏍煎牨鍍规硶銆�
浠�10骞存湡鍦嬪偟鏈熻波鐐轰緥锛屽叾鍚堢磩闈㈠€肩偤100,000缇庡厓锛屽悎绱勯潰鍊肩殑1%鐐�1鍊嬮粸锛屽嵆1鍊嬮粸浠h〃1,000缇庡厓;鍫卞児浠ラ粸鍜屽灏�1/32榛炵殑鏂瑰紡閫茶锛�1/32榛炰唬琛�31.25缇庡厓銆傛渶灏忚畩鍕曞児浣嶇偤1/32榛炵殑涓€鍗�锛屽嵆15.625缇庡厓銆傜敱浜庣編鍏冪殑鏈€灏忓柈浣嶇偤缇庡垎锛屽皪缇庡垎浠ヤ笅鐨勫熬鏁�(sh霉)閲囩敤鍥涜垗浜斿叆鏂规硶銆傚児宸鍒╄€呯殑鏈€灏忚畩鍕曢粸鐐�1/32榛炵殑1/4锛屽嵆7.8125缇庡厓銆�
渚嬪锛岀暥(d膩ng)10骞存湡鍦嬪偟鏈熻波鍚堢磩鍫卞児鐐�98锕�175鏅�锛岃〃绀鸿┎鍚堢磩鍍瑰€肩偤98,546.88缇庡厓(1,000缇庡厓×98+31.25缇庡厓×17.5=98,546.875缇庡厓锛屽洓鑸嶄簲鍏ョ偤98,546.88缇庡厓)銆�
2.鑲℃寚鏈熻波濂楁湡淇濆€煎拰鏈熺従(xi脿n)濂楀埄浜ゆ槗
鍠€嬭偂绁ㄧ殑β绯绘暩(sh霉)
鍏朵腑锛孯i琛ㄧず瑭茶偂绁ㄧ殑鏀剁泭鐜�;Rm琛ㄧず鎸囨暩(sh霉)鐨勬敹鐩婄巼;σm2琛ㄧず鎸囨暩(sh霉)鏀剁泭鐜囩殑鏂瑰樊銆�
鑲$エ绲勫悎鐨�β绯绘暩(sh霉)
鍋囧畾涓€鍊嬬祫鍚圥鐢眓鍊嬭偂绁ㄧ祫鎴愶紝绗琲鍊嬭偂绁ㄧ殑璩囬噾姣斾緥鐐篨i(X1+X2+…+Xn=1)锛�
βi鐐虹i鍊嬭偂绁ㄧ殑β绯绘暩(sh霉)銆�
鍓囪┎鑲$エ绲勫悎鐨�β绯绘暩(sh霉)鐨勮▓绠楀叕寮忕偤锛�
β=X1β1+X2β2+…+Xnβn(36)
鑲℃寚鏈熻波濂楁湡淇濆€间腑鍚堢磩鏁�(sh霉)閲忕殑纰哄畾
璨疯常鏈熻波鍚堢磩鏁�(sh霉)=×β绯绘暩(sh霉)(37)
鍏朵腑锛屽叕寮忎腑鐨�“鏈熻波鎸囨暩(sh霉)榛�×姣忛粸涔樻暩(sh霉)”瀵﹂殯涓婂氨鏄竴寮垫湡璨ㄥ悎绱勭殑鍍瑰€笺€�
(2)鑲℃寚鏈熻波鐞嗚珫鍍规牸鐨勮▓绠楀叕寮�
鐩搁棞(gu膩n)鐨勫亣瑷�(sh猫)姊濅欢鏈夛細鏆笉鑰冩叜浜ゆ槗璨荤敤锛屾湡璨ㄤ氦鏄撴墍鍗犵敤鐨勪繚璀夐噾浠ュ強鍙兘鐧�(f膩)鐢熺殑杩藉姞淇濊瓑閲戜篃鏆檪蹇界暐;鏈�銆佺従(xi脿n)鍏╁€嬪競鍫撮兘鏈夎冻澶犵殑娴佸嫊鎬э紝浣垮緱浜ゆ槗鑰呭彲浠ュ湪鐣�(d膩ng)鍓嶅児浣嶄笂鎴愪氦;铻嶅埜浠ュ強璩g┖妤垫槗閫茶锛屼笖璩g┖鎵€寰楄硣閲戦毃鍗冲彲浠ヤ娇鐢ㄣ€�
F(t锛孴)=S(t)[1+(r-d)×(T-t)/365](38)
鎸佹湁鏈熷埄鎭叕寮忕偤锛歋(t)×r×(T-t)/365(39)
鎸佹湁鏈熻偂鎭敹鍏ュ叕寮忕偤锛歋(t)×d×(T-t)/365(40)
鎸佹湁鏈熷噲鎴愭湰鍏紡鐐猴細S(t)×(r-d)×(T-t)/365(41)
鍏朵腑锛宼鐐烘墍闇€瑕佽▓绠楃殑鍚勯爡鍏�(n猫i)瀹圭殑鏅傞枔璁婇噺;T浠h〃浜ゅ壊鏅傞枔;T-t灏辨槸t鏅傚埢鑷充氦鍓叉檪鐨勬檪闁撻暦搴�锛岄€氬父浠ュぉ鐐鸿▓绠楀柈浣�;S(t)鐐簍鏅傚埢鐨勭従(xi脿n)璨ㄦ寚鏁�(sh霉);F(t锛孴)琛ㄧずT鏅備氦鍓茬殑鏈熻波鍚堢磩鍦╰鏅傜殑鐞嗚珫鍍规牸(浠ユ寚鏁�(sh霉)琛ㄧず);r鐐哄勾鍒╂伅鐜�;d鐐哄勾鎸囨暩(sh霉)鑲℃伅鐜�銆�
(3)鐒″鍒╁崁(q奴)闁撶殑涓婁笅鐣�
鎵€璎傜劇濂楀埄鍗€(q奴)闁擄紝鏄寚鑰冩叜浜ゆ槗鎴愭湰鍚�锛屽皣鏈熸寚鐞嗚珫鍍规牸鍒嗗垾鍚戜笂鍜屽悜涓嬬Щ鍕曟墍褰㈡垚鐨勫崁(q奴)闁�銆傚湪閫欏€嬪崁(q奴)闁撲腑锛屽鍒╀氦鏄撲笉浣嗗緱涓嶅埌鍒╂饯锛屽弽鑰屽皣灏�(d菐o)鑷磋櫑鎼�銆�
鍋囪ō(sh猫)TC鐐烘墍鏈変氦鏄撴垚鏈殑鍚堣▓鏁�(sh霉)锛屽墖鐒″鍒╁崁(q奴)闁撶殑涓婄晫鐐猴細
F(t锛孴)+TC=S(t)[1+(r-d)×(T-t)/365]+TC(42)
鐒″鍒╁崁(q奴)闁撶殑涓嬬晫鐐猴細
F(t锛孴)-TC=S(t)[1+(r-d)×(T-t)/365]-TC(43)
鐩告噳(y墨ng)鍦帮紝鐒″鍒╃殑鍗€(q奴)闁撶偤锛歔S(t)[1+(r-d)×(T-t)/365]-TC, S(t)[1+(r-d)×(T-t)/365]+TC]
銆�璜嬫巸鎻忎笂鏂逛簩缍⒓锛岄棞(gu膩n)娉ㄧ挵(hu谩n)鐞冪恫(w菐ng)鏍¢噾铻嶈€冭│瀹樻柟寰俊铏�锛�銆�
鐠�(hu谩n)鐞冪恫(w菐ng)鏍″弸鎯呮彁绀猴細鏌ョ湅鏇村寰�(f霉)缈�(x铆)璩囨枡鎮ㄥ彲浠ョ櫥闄哥挵(hu谩n)鐞冪恫(w菐ng)鏍�鏈熻波寰炴キ(y猫)璩囨牸闋婚亾鎴栫挵(hu谩n)鐞冪恫(w菐ng)鏍�鏈熻波寰炴キ(y猫)璩囨牸璜栧鑸囧唬澶ф湅鍙嬩竴璧蜂氦娴佸(xu茅)缈�(x铆)锛屽叡姹傞€叉锛�
鏈€鏂拌硣瑷�
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