New definitions of mean value and variance of fuzzy numbers: an application to the pricing of life insurance policies and real options

DOI10.1016/J.IJAR.2017.09.001zbMATH Open1425.91211OpenAlexW2754156951MaRDI QIDQ1679653FDOQ1679653

Authors: Luca Anzilli, Gisella Facchinetti 

Publication date: 21 November 2017

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2017.09.001

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zbMATH Keywords

fuzzy numbersvariancereal optionsbounded variation functionsfuzzy insuranceMean value

Mathematics Subject Classification ID

Theory of fuzzy sets, etc. (03E72) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Fuzzy sets
• Title not available (Why is that?)
• A first course in Sobolev spaces
• Option pricing: A simplified approach
• Possibility theory and statistical reasoning
• The mean value of a fuzzy number
• The expected value of a fuzzy number
• The fuzzy mathematics of finance
• Mathematics of fuzzy sets and fuzzy logic
• On possibilistic mean value and variance of fuzzy numbers
• On weighted possibilistic mean and variance of fuzzy numbers
• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• Title not available (Why is that?)
• A fuzzy approach to R{\&}D project portfolio selection
• Using fuzzy random variables in life annuities pricing
• Fuzzy logic in insurance
• Possibilistic risk aversion
• A multiperiod binomial model for pricing options in a vague world
• A possibilistic approach to evaluating equity-linked life insurance policies

Cited In (3)

• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• Mean value and variance of fuzzy numbers with non-continuous membership functions
• SOME COMPUTATIONAL RESULTS FOR THE FUZZY RANDOM VALUE OF LIFE ACTUARIAL LIABILITIES

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