Author, as appears in the article.: de Andrés-Sánchez J; González-Vila Puchades L; Zhang A
Department: Gestió d'Empreses
URV's Author/s: De Andrés Sànchez, Jorge
Keywords: Underwriting Systems Substandard annuity payment Risk classification Regression Mortality Model Liability Insurance Heterogeneity Fuzzy number Fuzzy mortality factor (or multiplier) Fuzzy inference system Frailty Enhanced annuities Determinants
Abstract: © 2020 Elsevier Ltd 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.
Thematic Areas: Matemática / probabilidade e estatística Interdisciplinar General engineering General computer science Engineering, industrial Engineering (miscellaneous) Engineering (all) Engenharias iv Engenharias iii Engenharias ii Engenharias i Economia Computer science, interdisciplinary applications Computer science (miscellaneous) Computer science (all) Ciências agrárias i Ciência da computação Administração pública e de empresas, ciências contábeis e turismo
ISSN: 03608352
Author's mail: jorge.deandres@urv.cat
Author identifier: 0000-0002-7715-779X
Record's date: 2023-02-19
Papper version: info:eu-repo/semantics/acceptedVersion
Link to the original source: https://www.sciencedirect.com/science/article/abs/pii/S0360835220302096
Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Computers & Industrial Engineering. 145 (UNSP 106475):
APA: de Andrés-Sánchez J; González-Vila Puchades L; Zhang A (2020). Incorporating fuzzy information in pricing substandard annuities. Computers & Industrial Engineering, 145(UNSP 106475), -. DOI: 10.1016/j.cie.2020.106475
Article's DOI: 10.1016/j.cie.2020.106475
Entity: Universitat Rovira i Virgili
Journal publication year: 2020
Publication Type: Journal Publications
Repositori URV