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

IF 2 Q2 BUSINESS, FINANCE
Risks Pub Date : 2024-02-02 DOI:10.3390/risks12020029
Jorge de Andrés-Sánchez
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引用次数: 0

Abstract

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.
利用直觉模糊参数为与预期寿命受损相关的人生意外事件定价
有几项人寿意外险协议是基于这样的假设,即投保人的预期寿命因生活方式、社会阶层或已有的健康问题等因素而受损。量化两个关键变量,即增加的死亡概率和预计现金流的贴现率,对于此类协议的定价至关重要。有关这些参数正确值的信息存在模糊性和不精确性,如果必须考虑损害因素,这种模糊性和不精确性就会进一步加剧。本研究建议使用模糊数(FN)的广义化,即直觉模糊数(IFN)来模拟死亡率和利率。因此,本文扩展了使用模糊参数进行人寿应急定价的文献,其中利率和死亡概率等变量的不确定性使用模糊数建模。FNs 引入了认识上的不确定性,而 IFNs 的使用则通过纳入精算变量的正面和负面信息,增加了分析的两极性。我们的分析重点是涉及预期寿命受损的投保人的两项协议:确定低于标准年金的年金支付和终身寿险保单的人寿理赔定价。我们特别强调使用三角直觉模糊数(TIFN)对利率和生存概率进行建模,因为它们易于解释和实施。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Risks
Risks Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
3.80
自引率
22.70%
发文量
205
审稿时长
11 weeks
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