2026-04-17T21:22:48Zhttps://recercat.cat/oai/request

oai:recercat.cat:2445/1261172025-12-05T05:56:17Zcom_2072_1057col_2072_478917col_2072_478919

00925njm 22002777a 4500 dc Andrés Sánchez, Jorge de author González-Vila Puchades, Laura author 2018-11-15T08:24:02Z 2018-11-15T08:24:02Z 2014 2018-11-15T08:24:02Z This paper develops life insurance pricing with different representation of its two sources of uncertainty: stochastic behaviour of mortality of the insured and fuzzy quantification of interest rates within the time horizon. Concretely we analyse endowment contracts, which are present in several financial real - world contexts as residential mortgage loans or retirement plans. We show that modelling the present value of these contracts with fuzzy random variables allows a well - founded quantification of their fair price and the risk resulting from the uncertainty of mortality and discounting rates. To do this, we firstly describe fuzzy random variables and some associated measures (mathematical expectation, variance, distribution function and quantiles) are defined. Subsequently the present value of a endowment contract (pure and mixed) is modelled with fuzzy random variables. Finally we show how the price and risk measures for endowment portfolios can be obtained Assegurances de vida Conjunts borrosos Lògica borrosa Variables aleatòries Life insurance Fuzzy sets Fuzzy logic Random variables Pricing Endowments with Soft Computing