Pricing Endowments with Soft Computing
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 fin...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2014 |
| 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:2445/126117 |
| Acceso en línea: | https://hdl.handle.net/2445/126117 |
| Access Level: | acceso abierto |
| Palabra clave: | Assegurances de vida Conjunts borrosos Lògica borrosa Variables aleatòries Life insurance Fuzzy sets Fuzzy logic Random variables |
| Sumario: | 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 |
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