2026-04-13T14:19:44Zhttps://recercat.cat/oai/requestoai:recercat.cat:2445/1261172025-12-05T05:56:17Zcom_2072_1057col_2072_478917col_2072_478919
RECERCAT
author
Andrés Sánchez, Jorge de
author
González-Vila Puchades, Laura
2018-11-15T08:24:02Z2018-11-15T08:24:02Z20142018-11-15T08:24:02Z
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
(c) Andrés Sánchez, Jorge de et al., 2014 info:eu-repo/semantics/openAccess
Assegurances de vida
Conjunts borrosos
Lògica borrosa
Variables aleatòries
Life insurance
Fuzzy sets
Fuzzy logic
Random variables
Pricing Endowments with Soft Computing
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion