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Pricing Life Contingencies Linked to Impaired Life Expectancies Using Intuitionistic Fuzzy Parameters

  • Dades identificatives

    Identificador: imarina:9379171
    Autors:
    Andrés-Sánchez Jd
    Resum:
    Several life contingency agreements are based on the assumption that policyholders have impaired life expectancy attributable to factors, such as lifestyle, social class, or preexisting health issues. Quantifying two crucial variables, augmented death probabilities and the discount rate of projected cash flows, is essential for pricing such agreements. Information regarding the correct values of these parameters is subject to vagueness and imprecision, which further intensifies if impairments must be considered. This study proposes modelling mortality and interest rates using a generalization of fuzzy numbers (FNs), known as intuitionistic fuzzy numbers (IFNs). Consequently, this paper extends the literature on life contingency pricing with fuzzy parameters, where uncertainty in variables, such as interest rates and death probabilities, is modelled using FNs. While FNs introduce epistemic uncertainty, the use of IFNs adds bipolarity to the analysis by incorporating both positive and negative information regarding actuarial variables. Our analysis focuses on two agreements involving policyholders with impaired life expectancies: determining the annuity payment in a substandard annuity and pricing a life settlement over a whole life insurance policy. In particular, we emphasize modelling interest rates and survival probabilities using triangular intuitionistic fuzzy numbers (TIFNs) owing to their ease of interpretation and implementation.
  • Altres:

    Autor segons l'article: Andrés-Sánchez Jd
    Departament: Gestió d'Empreses
    Autor/s de la URV: De Andrés Sànchez, Jorge
    Paraules clau: Intuitionistic fuzzy numbers Intuitionistic fuzzy sets Life settlement pricing Substandard annuities
    Resum: Several life contingency agreements are based on the assumption that policyholders have impaired life expectancy attributable to factors, such as lifestyle, social class, or preexisting health issues. Quantifying two crucial variables, augmented death probabilities and the discount rate of projected cash flows, is essential for pricing such agreements. Information regarding the correct values of these parameters is subject to vagueness and imprecision, which further intensifies if impairments must be considered. This study proposes modelling mortality and interest rates using a generalization of fuzzy numbers (FNs), known as intuitionistic fuzzy numbers (IFNs). Consequently, this paper extends the literature on life contingency pricing with fuzzy parameters, where uncertainty in variables, such as interest rates and death probabilities, is modelled using FNs. While FNs introduce epistemic uncertainty, the use of IFNs adds bipolarity to the analysis by incorporating both positive and negative information regarding actuarial variables. Our analysis focuses on two agreements involving policyholders with impaired life expectancies: determining the annuity payment in a substandard annuity and pricing a life settlement over a whole life insurance policy. In particular, we emphasize modelling interest rates and survival probabilities using triangular intuitionistic fuzzy numbers (TIFNs) owing to their ease of interpretation and implementation.
    Àrees temàtiques: Accounting Business, finance Ciências ambientais Economics, econometrics and finance (miscellaneous) Sociología Strategy and management
    Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
    Adreça de correu electrònic de l'autor: jorge.deandres@urv.cat
    Identificador de l'autor: 0000-0002-7715-779X
    Data d'alta del registre: 2024-10-12
    Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
    Enllaç font original: https://www.mdpi.com/2227-9091/12/2/29
    Referència a l'article segons font original: Risks. 12 (2):
    Referència de l'ítem segons les normes APA: Andrés-Sánchez Jd (2024). Pricing Life Contingencies Linked to Impaired Life Expectancies Using Intuitionistic Fuzzy Parameters. Risks, 12(2), -. DOI: 10.3390/risks12020029
    URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
    DOI de l'article: 10.3390/risks12020029
    Entitat: Universitat Rovira i Virgili
    Any de publicació de la revista: 2024
    Tipus de publicació: info:eu-repo/semantics/article
  • Paraules clau:

    Accounting,Business, Finance,Economics, Econometrics and Finance (Miscellaneous),Strategy and Management
    Intuitionistic fuzzy numbers
    Intuitionistic fuzzy sets
    Life settlement pricing
    Substandard annuities
    Accounting
    Business, finance
    Ciências ambientais
    Economics, econometrics and finance (miscellaneous)
    Sociología
    Strategy and management
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