Using Fuzzy Interest Rates for Uncertainty Modelling in Enhanced Annuities Pricing
الموضوعات : فصلنامه ریاضی
1 - Personal Insurance Research Group, Insurance Research Center, Tehran, Iran
الکلمات المفتاحية: Fuzzy Set Theory, Adjustment multiplier Interest rate, Enhanced annuities, Single premium,
ملخص المقالة :
The modeling of uncertainty resources is very important in insurance pricing. In this paper, fuzzy set theory is implemented to model interest rates as an uncertainty resources for calculating the price of enhanced annuities. In this regard, the single fuzzy premium for a fixed annuity payouts is calculated using adjusted mortality probabilities for an insured with health problems and the results are compared with standard status. As the adjustment multiplier increases, which means that the health problems of the insured are worse, the life expectancy of the person decreases. In addition, as adjustment multiplier increases, the insurance premium decreases, which is due to the adjustment of survival and mortality probabilities based on the individual's health status. Also, to show the validity of the proposed fuzzy method, the random interest rate has been used. The results of the fuzzy and random models are close to each other which indicates the validation of proposed method.
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