Estimación de la estructura temporal de los tipos de interés mediante números borrosos. Aplicación a la valoración financiero-actuarial y análisis de la solvencia del asegurador de vida.

Identificador:  TDX:582

Handle: https://hdl.handle.net/20.500.11797/TDX582

Autores:  Andrés Sánchez, Jorge de

Resumen:
This doctoral thesis has to objectives.a) We propose a set of methodologies for estimating the temporal structure of interest rates (TSIR) based on fuzzy regression techniques. They allow incorporating all the prices of the fixed income instruments sold and bought along one session in the measurement of the TSIR. Finally, the TSIR will be characterised using fuzzy numbers. Subsequently, the forward rates, that can be interpreted as the future rates predicted by the market, will be quantified as fuzzy numbers too.b) Moreover, we propose a methodology for pricing life insurance contracts and analysing the insurer's solvency supposing that fuzzy numbers quantify the profit that a life insurer will obtain investing the premiums. Using this methodology the randomness and fuzziness inherent to the investigated phenomena is preserved along the valuation process. This methodology is based on the concept of fuzzy random variable.