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Aalaei, Mahboubeh. (1401). Pricing life settlements in the secondary market using fuzzy internal rate of return. سامانه مدیریت نشریات علمی, 2(2), 53-62. doi: 10.22054/jmmf.2023.15186
Mahboubeh Aalaei. "Pricing life settlements in the secondary market using fuzzy internal rate of return". سامانه مدیریت نشریات علمی, 2, 2, 1401, 53-62. doi: 10.22054/jmmf.2023.15186
Aalaei, Mahboubeh. (1401). 'Pricing life settlements in the secondary market using fuzzy internal rate of return', سامانه مدیریت نشریات علمی, 2(2), pp. 53-62. doi: 10.22054/jmmf.2023.15186
Aalaei, Mahboubeh. Pricing life settlements in the secondary market using fuzzy internal rate of return. سامانه مدیریت نشریات علمی, 1401; 2(2): 53-62. doi: 10.22054/jmmf.2023.15186

Pricing life settlements in the secondary market using fuzzy internal rate of return

Journal of Mathematics and Modeling in Finance
دوره 2، شماره 2، اسفند 2022، صفحه 53-62    اصل مقاله (213.19 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2023.15186
نویسنده
Mahboubeh Aalaei*
Insurance research center, Tehran, Iran
چکیده
In this paper‎, ‎fuzzy set theory is implemented to model internal rate of return for calculating the price of life ‎settlements‎‎. ‎D‎eterministic‎, ‎probabilistic and stochastic ‎approaches ‎is ‎used ‎to ‎price life ‎settlements‎ in the secondary market for the Iranian insurance industry‎. ‎Research findings were presented and analyzed for whole life insurance policies using the interest rates announced in the supplement of Regulation No‎. ‎68 and Iranian life table‎, ‎which recently has been issued to be used by insurance companies‎. ‎Also‎, ‎the results of three approaches were compared with surrender value‎, ‎which indicates the surrender value is lower than ‎the fuzzy‎ price calculated based on the probabilistic and stochastic approaches and it is higher than the price calculated based on the deterministic approach‎. ‎Therefore‎, ‎selling life settlements in the secondary market ‎in ‎Iran‎ based on ‎calculated fuzzy price using ‎probabilistic and stochastic approaches will benefit the ‎policyholder‎. ‎Also‎,‎ ‎the price is obtained in the form of an interval using the fuzzy sets theory ‎and the investor can decide which price is suitable for this policy based on financial knowledge‎‎‎. ‎‎Furthermore, ‎in ‎order ‎to ‎show validity of the proposed fuzzy method,‎‎‎ the findings ‎are‎ ‎compared ‎to ‎the results of ‎using ‎‎the random ‎internal‎‎ ‎rate ‎of return‎.‎
کلیدواژه‌ها
Life settlements‎ Fuzzy random variables‎ life expectancy‎ Secondary market‎؛ ‎ Adjustment multiplier
مراجع
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