Title of article :
SOME COMPUTATIONAL RESULTS FOR THE FUZZY RANDOM VALUE OF LIFE ACTUARIAL LIABILITIES
Author/Authors :
de Andres-Sanchez, J. Social and Business Research Laboratory - Department of Business Management - Rovira i Virgili University, Spain , Gonzalez-Vila Puchades, L. Department of Mathematics for Economics - Finance and Actuarial Science - University of Barcelona, Spain
Abstract :
The concept of fuzzy random variable has been applied in several papers to model the present value of life insurance liabilities. It allows the fuzzy uncertainty of the interest rate and the probabilistic behaviour of mortality to be used throughout the valuation process without any loss of information. Using this framework, and considering a triangular interest rate, this paper develops closed expressions for the expected present value and its defuzzified value, the variance and the distribution function of several well-known actuarial liabilities structures, namely life insurances, endowments and life annuities.
Keywords :
Fuzzy financial mathematics , Fuzzy life insurance mathematics , Fuzzy triangular interest rate , Fuzzy random variable , Stochastic mortality , Fuzzy numbers , Financial pricing , Endowment , Life insurance
Journal title :
Iranian Journal of Fuzzy Systems (IJFS)
