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Soft Computing in Management and Business Economics pp 111–125Cite as

A Fuzzy Random Variable Approach to Life Insurance Pricing

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Part of the Studies in Fuzziness and Soft Computing book series (STUDFUZZ,volume 287)

Abstract

This paper develops life insurance pricing with stochastic representation of mortality and fuzzy quantification of interest rates following the methodology by Andrés and González-Vila (2012). We show that modelling the present value of life insurance 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. So, we firstly describe fuzzy random variables and define some associated measures: the mathematical expectation, the variance, distribution function and quantiles. Subsequently the present value of life insurance policies is modelled with fuzzy random variables. We finally show how an actuary can quantify the price and the risk of a life insurance portfolio when the contracts present value is given by fuzzy random variables.

Keywords

  • Fuzzy finance
  • Fuzzy random variables
  • Life insurance mathematics

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Author information

Authors and Affiliations

  1. Department of Business Administration, Faculty of Economics and Business Studies, Rovira i Virgili University, Av. de la Universitat 1, 43204, Reus, Spain

    Jorge de Andrés-Sánchez

  2. Department of Economic, Financial and Actuarial Mathematics, Faculty of Economics and Business, University of Barcelona, Av. Diagonal 696, 08034, Barcelona, Spain

    Laura González-Vila Puchades

Authors
  1. Jorge de Andrés-Sánchez
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  2. Laura González-Vila Puchades
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Corresponding author

Correspondence to Jorge de Andrés-Sánchez .

Editor information

Editors and Affiliations

  1. Department of Business Administration, University of Barcelona, Av. Diagonal 690, Barcelona, 08034, Spain

    Anna M. Gil-Lafuente

  2. Department of Business Administration, University of Barcelona, Av. Diagonal 690, Barcelona, 08034, Spain

    Jaime Gil-Lafuente

  3. Department of Business Administration, University of Barcelona, Av. Diagonal 690, Barcelona, 08034, Spain

    José M. Merigó-Lindahl

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de Andrés-Sánchez, J., González-Vila Puchades, L. (2012). A Fuzzy Random Variable Approach to Life Insurance Pricing. In: Gil-Lafuente, A., Gil-Lafuente, J., Merigó-Lindahl, J. (eds) Soft Computing in Management and Business Economics. Studies in Fuzziness and Soft Computing, vol 287. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-30451-4_8

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  • DOI: https://doi.org/10.1007/978-3-642-30451-4_8

  • Publisher Name: Springer, Berlin, Heidelberg

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