The valuation of life contingencies: A symmetrical triangular fuzzy approximation

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• 作者：Jorge de André ; s-Sá ; nchez^a ; ^{jorge.deandres@urv.cat} ; Laura Gonzá ; lez-Vila Puchades^b ; ^{lgonzalezv@ub.edu}
• 关键词：G22 ; C63
• 刊名：Insurance: Mathematics and Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：72
• 期：Complete
• 页码：83-94
• 全文大小：609 K
• 卷排序：72

文摘

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.