| تعداد نشریات | 63 |
| تعداد شمارهها | 2,262 |
| تعداد مقالات | 18,632 |
| تعداد مشاهده مقاله | 57,738,633 |
| تعداد دریافت فایل اصل مقاله | 29,554,809 |
Life settlements pricing based on fuzzy interest rates arisen from life insurance premiums | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 3، شماره 2، اسفند 2023، صفحه 177-188 اصل مقاله (190 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2024.77678.1114 | ||
| نویسندگان | ||
| Mahboubeh Aalaei* 1؛ Khadijeh Ebrahimnezhad2 | ||
| 1Insurance research center, Tehran, Iran | ||
| 2Department of Economic, Faculty of Social and Economics, Alzahra University, Tehran, Iran. | ||
| چکیده | ||
| In this article, fuzzy random variables are used to model interest rate uncertainty used in the calculation of whole life insurance premiums, and calculate the effect of this uncertainty on the price of life settlements. The fuzzy results obtained from deterministic and probabilistic pricing approaches have been compared with the results of the stochastic approach. Also, the results have been analyzed for Iran life table, which has been issued to insurance companies since 1400, and for France life table, which was previously used by insurance companies. In addition, since 5-year survival probability for each cancers in Iran was lower than in the United States, the probability adjustment coefficient for Iran was higher than that of the United States. In addition, the interval obtained for the fuzzy probability price and the stochastic price for both Iran and France life tables are close to each other. But in most cases, the fuzzy price obtained based on the deterministic approach has a significant distance from the stochastic and fuzzy probability approaches. Also, the findings of the research indicate that the price calculated using the fuzzy deterministic approach for Iran life table is higher than France life table. While the results for fuzzy probabilistic approach and stochastic approach are completely opposite. In the other words, the price calculated for the Iran life table is lower than the France life table. This difference comes from the fact that the adjustment coefficients for these life tables are calculated for each person separately from related life tables. | ||
| کلیدواژهها | ||
| Life expectancy؛ Life settlements؛ Secondary market؛ Fuzzy random variable؛ Interest rate &lrm | ||
| مراجع | ||
|
[1] M. Aalaei, Pricing life insurance products in Iran using fuzzy interest rates, Iranian Journal of Insurance Research, 37(1) (2022), pp. 43-78. [2] M. Aalaei, The Impact of Using Iranian Life Table on Standard and Modified Premium of Various Life Insurance Products, Journal of Population Association of Iran, 17(33) (2022), pp. 159-177. (In Persian) [3] M. Aalaei, Pricing life settlements in the secondary market using fuzzy internal rate of return, J. Math. Model. Financ. 2 (2) (2022), pp. 53-62. [4] M. Aalaei, E. Safarzadeh, k. Ebrahimnejad, Life Settlements Pricing in Irans Secondary Market Using Deterministic, Probabilistic, and Stochastic Approaches, Financial Research Journal, 25 (2), pp. 255-274. (In Persian) [5] American Cancer Society, Survival Rates for Laryngeal and Hypopharyngeal Cancers, (2023). [6] V. Dedes, How to determine fair value for life insurance policies in a secondary market, (2011). [7] D. C. M. Dickson, M. R. Hardy and H. R. Waters, Actuarial mathematics for life contingent risks, Cambridge university press, Third edition, (2020). [8] N. A. Doherty and H. J. Singer, The benefits of a secondary market for life insurance policies, Real Property, Probate and Trust Journal, 38 (2003), pp. 449-478. [9] H. G. Ingraham and S. S. Salani, Life settlements as a viable option, Journal of Financial Service Professionals, 58(5) (2004), pp. 72-76. [10] A. Komijani, S. Mohammadi, M. Kousheshi and L. Niakan, Life annuity pricing based on fuzzy technical interest rates, Iran. J. insur. Res., 3(4) (2014), pp. 33-60. (In Persian) [11] S. Nemati, S., E. Saeedi, F. Lotfi, A. Nahvijou, E. Mohebbi, Z. Ravankhah, A. Rezaeianzadeh, M. Yaghoobi-Ashrafi, H. Pirnejad, A. Golpazir, R. Dolatkhah, S. Alvand, S.V. Ahmadi-Tabatabaei, M. Cheraghi, E. Weiderpass, F. Bray, M.P. Coleman, A. Etemadi, A. Khosravi, F. Najafi, M.A. Mohagheghi, G. Roshandel, R. Malekzadeh,K. Zendehdel, National surveillance of cancer survival in Iran (IRANCANSURV): Analysis of data of 15 cancer sites from nine populationbased cancer registries, International Journal of Cancer, 151(12) (2022), pp. 2128-2135. [12] J.A. Sanchez, Fuzzy Claim Reserving In Non-Life Insurance, Computer Science and Information Systems, 11(2) (2014), pp. 825838. [13] J.A. Sanchez and L.G. Puchades, Life settlements: descriptive analysis and quantitative aspects, Management Letters, 21(2) (2021), pp. 19-34. (In Spain) [14] J.A. Sanchez, L.G. Puchades and A. Zhang, Incorporating Fuzzy Information in Pricing Substandard Annuities, Computers Industrial Engineering, 145 (2020), pp. 106475. [15] J.A. Sanchez and L.G. Puchades, Life settlement pricing with fuzzy parameters, Applied Soft Computing Journal, 148 (2023), pp. 110924. [16] J. Xu, Dating death: An empirical comparison of medical underwriters in the US life settlements market, North American Actuarial Journal, 24(1) (2020), pp. 36-56. [17] D. Wang, A net premium model for life insurance under a sort of generalized uncertain interest rates, In uncertainty model ling in data science, (2019), pp. 224-232. | ||
|
آمار تعداد مشاهده مقاله: 721 تعداد دریافت فایل اصل مقاله: 372 |
||