The valuation of life contingencies: A symmetrical triangular fuzzy approximation

Jorge de Andrés-Sánchez and Laura González-Vila Puchades

Insurance: Mathematics and Economics, 2017, vol. 72, issue C, 83-94

Abstract: 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.

Keywords: Life contingency pricing; Fuzzy numbers; Expected interval and beta expected value of a fuzzy number; Fuzzy financial mathematics; Mathematical expectation and variance of a fuzzy random variable (search for similar items in EconPapers)
JEL-codes: C63 G22 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:72:y:2017:i:c:p:83-94

DOI: 10.1016/j.insmatheco.2016.11.002

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