Pricing of minimum guarantees in life insurance contracts with fuzzy volatility

DOI10.1016/j.ins.2017.10.001zbMath1448.91252OpenAlexW2761749426MaRDI QIDQ2198222

Gisella Facchinetti, Luca Anzilli, Tommaso Pirotti

Publication date: 9 September 2020

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2017.10.001

zbMATH Keywords

fuzzy random variableslife insuranceminimum guaranteeequity-linked policiesfuzzy volatility

Mathematics Subject Classification ID

Fuzzy probability (60A86) Actuarial mathematics (91G05)

Related Items (1)

Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Using fuzzy random variables in life annuities pricing
• Fuzzy logic in insurance
• Linguistic summarization of time series using a fuzzy quantifier driven aggregation
• Overview on the development of fuzzy random variables
• The solution of fuzzy linear systems by nonlinear programming: a financial application
• Towards a general setting for the fuzzy mathematics of finance
• Application of possibility theory to investment decisions
• A multiperiod binomial model for pricing options in a vague world
• A generalization of Hukuhara difference and division for interval and fuzzy arithmetic
• Fuzzy random variables - I. Definitions and theorems
• Fuzzy random variables - II. Algorithms and examples for the discrete case
• Solving systems of linear fuzzy equations
• A note on the extension principle for fuzzy sets
• A discrete-time model of American put option in an uncertain environment.
• Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making
• The fuzzy mathematics of finance
• Mathematics of fuzzy sets and fuzzy logic
• On an implicit assessment of fuzzy volatility in the Black and Scholes environment
• Option valuation model with adaptive fuzzy numbers
• Fuzzy logic in financial analysis.
• Median value and median interval of a fuzzy number
• A Possibilistic Approach to Evaluating Equity-Linked Life Insurance Policies
• A POSSIBILISTIC APPROACH TO INVESTMENT DECISION MAKING
• Fuzzy sets
• Fuzzy random variables
• On possibilistic mean value and variance of fuzzy numbers

This page was built for publication: Pricing of minimum guarantees in life insurance contracts with fuzzy volatility