Incorporating fuzzy information in pricing substandard annuities

There is a growing interest in the insurance industry in offering substandard annuities. These annuities, based on medical underwriting, provide a greater pay out than the standard ones to those individuals who are expected to have a lower than average life expectancy. Medically underwritten annuiti...

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Autores: Andrés Sánchez, Jorge de, González-Vila Puchades, Laura, Zhang, Aihua
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2020
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/168065
Acceso en línea:https://hdl.handle.net/2445/168065
Access Level:acceso abierto
Palabra clave:Conjunts borrosos
Lògica borrosa
Assegurances
Fuzzy sets
Fuzzy logic
Insurance
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repository_id_str
spelling Incorporating fuzzy information in pricing substandard annuitiesAndrés Sánchez, Jorge deGonzález-Vila Puchades, LauraZhang, AihuaConjunts borrososLògica borrosaAssegurancesFuzzy setsFuzzy logicInsuranceThere is a growing interest in the insurance industry in offering substandard annuities. These annuities, based on medical underwriting, provide a greater pay out than the standard ones to those individuals who are expected to have a lower than average life expectancy. Medically underwritten annuities often involve imprecise or vague information about the individuals such as health status and lifestyle. To address this issue, this paper proposes two approaches based on Fuzzy Sets Theory tools. Firstly, in order to determine substandard annuity payments, fuzzy mortality factors (also known as mortality multipliers) are introduced. These fuzzy mortality factors, modelled by means of triangular fuzzy numbers, can be estimated using conventional statistical confidence intervals. Secondly, by designing a fuzzy inference system, we demonstrate how to obtain the substandard annuity payment based on imprecise or vague personal information about annuitants. Numerical applications based on Spanish mortality data are provided for illustration. Previous article in issueElsevier2020202320202020info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfapplication/pdfhttps://hdl.handle.net/2445/168065Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió postprint del document publicat a: https://doi.org/10.1016/j.cie.2020.106475Computers and Industrial Engineering, 2020, vol. 145, num. 106475https://doi.org/10.1016/j.cie.2020.106475cc-by-nc-nd (c) Elsevier, 2020http://creativecommons.org/licenses/by-nc-nd/3.0/esinfo:eu-repo/semantics/openAccessoai:recercat.cat:2445/1680652026-05-29T05:05:01Z
dc.title.none.fl_str_mv Incorporating fuzzy information in pricing substandard annuities
title Incorporating fuzzy information in pricing substandard annuities
spellingShingle Incorporating fuzzy information in pricing substandard annuities
Andrés Sánchez, Jorge de
Conjunts borrosos
Lògica borrosa
Assegurances
Fuzzy sets
Fuzzy logic
Insurance
title_short Incorporating fuzzy information in pricing substandard annuities
title_full Incorporating fuzzy information in pricing substandard annuities
title_fullStr Incorporating fuzzy information in pricing substandard annuities
title_full_unstemmed Incorporating fuzzy information in pricing substandard annuities
title_sort Incorporating fuzzy information in pricing substandard annuities
dc.creator.none.fl_str_mv Andrés Sánchez, Jorge de
González-Vila Puchades, Laura
Zhang, Aihua
author Andrés Sánchez, Jorge de
author_facet Andrés Sánchez, Jorge de
González-Vila Puchades, Laura
Zhang, Aihua
author_role author
author2 González-Vila Puchades, Laura
Zhang, Aihua
author2_role author
author
dc.subject.none.fl_str_mv Conjunts borrosos
Lògica borrosa
Assegurances
Fuzzy sets
Fuzzy logic
Insurance
topic Conjunts borrosos
Lògica borrosa
Assegurances
Fuzzy sets
Fuzzy logic
Insurance
description There is a growing interest in the insurance industry in offering substandard annuities. These annuities, based on medical underwriting, provide a greater pay out than the standard ones to those individuals who are expected to have a lower than average life expectancy. Medically underwritten annuities often involve imprecise or vague information about the individuals such as health status and lifestyle. To address this issue, this paper proposes two approaches based on Fuzzy Sets Theory tools. Firstly, in order to determine substandard annuity payments, fuzzy mortality factors (also known as mortality multipliers) are introduced. These fuzzy mortality factors, modelled by means of triangular fuzzy numbers, can be estimated using conventional statistical confidence intervals. Secondly, by designing a fuzzy inference system, we demonstrate how to obtain the substandard annuity payment based on imprecise or vague personal information about annuitants. Numerical applications based on Spanish mortality data are provided for illustration. Previous article in issue
publishDate 2020
dc.date.none.fl_str_mv 2020
2020
2020
2023
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/168065
url https://hdl.handle.net/2445/168065
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1016/j.cie.2020.106475
Computers and Industrial Engineering, 2020, vol. 145, num. 106475
https://doi.org/10.1016/j.cie.2020.106475
dc.rights.none.fl_str_mv cc-by-nc-nd (c) Elsevier, 2020
http://creativecommons.org/licenses/by-nc-nd/3.0/es
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by-nc-nd (c) Elsevier, 2020
http://creativecommons.org/licenses/by-nc-nd/3.0/es
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,81155

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