Universitat de Barcelona
2016-12-20T12:42:53Z
2020-02-01T06:10:15Z
2017-01
2016-12-20T12:42:58Z
This paper extends the framework for the valuation of life insurance policies and annuities by Andrés- Sánchez and González-Vila (2012, 2014) in two ways. First we allow various uncertain magnitudes to be estimated by means of fuzzy numbers. This applies not only to interest rates but also to the amounts to be paid out by the insurance company. Second, the use of symmetrical triangular fuzzy numbers allows us to obtain expressions for the pricing of life contingencies and their variability that are closely linked to standard financial and actuarial mathematics. Moreover, they are relatively straightforward to compute and understand from a standard actuarial point of view.
Article
Accepted version
English
Matemàtica actuarial; Conjunts borrosos; Risc (Assegurances); Assegurances de vida; Actuarial mathematics; Fuzzy sets; Risk (Insurance); Life insurance
Elsevier B.V.
Versió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2016.11.002
Insurance Mathematics and Economics, 2017, vol. 72, num. January, p. 83-94
https://doi.org/10.1016/j.insmatheco.2016.11.002
cc-by-nc-nd (c) Elsevier B.V., 2017
http://creativecommons.org/licenses/by-nc-nd/3.0/es
