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A Possibilistic Approach to Evaluating Equity-Linked Life Insurance Policies

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Advances in Computational Intelligence (IPMU 2012)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 300))

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Abstract

We deal with the problem of pricing equity-linked life insurance policies under uncertainty of randomness and fuzziness. Firstly, we propose an evaluation method for general life insurance, with stochastic representation of mortality and fuzzy quantification of financial present values, by defining the actuarial value of the liabilities as the expectation of a fuzzy random variable. Then, we apply the suggested methodology to the fair valuation of an equity-linked policy. In such a contract policyholder’s benefits are linked to the performance of a reference fund. We perform the risk neutral valuation in a fuzzy binomial-tree model. The crisp value of the policy is obtained by means of a “defuzzification method” based on possibilistic mean values. A numerical example illustrates how the proposed method allows the actuary to model the fuzziness in the parameters according to his subjective judgement.

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Author information

Authors and Affiliations

  1. Department of Economics, Mathematics and Statistics, University of Salento, Lecce, Italy

    Luca Anzilli

Authors
  1. Luca Anzilli
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Editor information

Editors and Affiliations

  1. Faculty of Economics, University of Catania, Corso Italia, 55, 95129, Catania, Italy

    Salvatore Greco  & Benedetto Matarazzo  & 

  2. CNRS UMR 7606, DAPA, LIP6 8, Université Pierre et Marie Curie - Paris6, rue du Capitaine Scott, F-75015, Paris, France

    Bernadette Bouchon-Meunier

  3. Dip. Matematica e Informatica, Università di Perugia, 06123, Perugia, Italy

    Giulianella Coletti

  4. Department of Computer and Management Science, University of Trento, Via Inama 5, 38122, Trento, Italy

    Mario Fedrizzi

  5. Machine Intelligence Institute — IONA College,, 10801, New Rochelle, NY, USA

    Ronald R. Yager

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© 2012 Springer-Verlag Berlin Heidelberg

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Anzilli, L. (2012). A Possibilistic Approach to Evaluating Equity-Linked Life Insurance Policies. In: Greco, S., Bouchon-Meunier, B., Coletti, G., Fedrizzi, M., Matarazzo, B., Yager, R.R. (eds) Advances in Computational Intelligence. IPMU 2012. Communications in Computer and Information Science, vol 300. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-31724-8_6

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  • DOI: https://doi.org/10.1007/978-3-642-31724-8_6

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-31723-1

  • Online ISBN: 978-3-642-31724-8

  • eBook Packages: Computer ScienceComputer Science (R0)

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