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Title: Pricing Endowments with Soft Computing
Author: Andrés Sánchez, Jorge de
González-Vila Puchades, Laura
Keywords: Assegurances de vida
Conjunts borrosos
Lògica borrosa
Variables aleatòries
Life insurance
Fuzzy sets
Fuzzy logic
Random variables
Issue Date: 2014
Publisher: Academy of Economic Studies in Bucharest
Abstract: 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
Note: Reproducció del document publicat a:
It is part of: Economic Computation and Economic Cybernetics Studies and Research, 2014, vol. 48, num. 1, p. 159-179
ISSN: 0424-267X
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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