Modeling future lifetime as a fuzzy random variable

Arnold F. Shapiro

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 864-870

Abstract: A recent article by de Andrés-Sánchez and Puchades (2012) modeled life annuities as fuzzy random variables (FRVs). Their article was informative. However, it had the limitation that the FRV used to model the life annuity was not a granulated FRV. This followed because the authors assumed that the uncertainty insofar as mortality is entirely due to randomness and that the uncertainty with respect to interest rates is entirely due to fuzziness. The concern is that such a dichotomy may be problematic since, in actuality, the uncertainty of both the mortality parameter and the interest rate parameter can have both random and fuzzy features. The purpose of this article is to address the mortality portion of this dichotomy and, to this end, we model future lifetime as a FRV.

Keywords: Future lifetime; Fuzzy variable; Random variable; Fuzzy random variable; Granulated fuzzy random variable; Fuzzy metric (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:864-870

DOI: 10.1016/j.insmatheco.2013.10.007

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