A Possibilistic Approach to Evaluating Equity-Linked Life Insurance Policies

We deal with the problem of pricing equity-linked life insurance policies under uncertainty of randomness and fuzziness. Firstly, we propose an evaluation method for general life insurance, with stochastic representation of mortality and fuzzy quantification of financial present values, by defining the actuarial value of the liabilities as the expectation of a fuzzy random variable. Then, we apply the suggested methodology to the fair valuation of an equity-linked policy. In such a contract policyholder’s benefits are linked to the performance of a reference fund. We perform the risk neutral valuation in a fuzzy binomial-tree model. The crisp value of the policy is obtained by means of a “defuzzification method” based on possibilistic mean values. A numerical example illustrates how the proposed method allows the actuary to model the fuzziness in the parameters according to his subjective judgement

Non-optimal exercise of perpetual American put options and expected loss return

Quaderno del Dipartimento di Scienze Economiche e Matematico-Statistiche, Collana di Matematica, Università del Salento, vol. 133/2

Fuzzy quantities and their ranking: a new proposal

We deal with the problem of evaluating and ranking fuzzy quantitities. We call fuzzy quantity any non-normal and non-convex fuzzy set, defined as the union of two, or more, generalized fuzzy numbers. For this purpose we suggest an evaluation defined by a pair index based on “value” & “ambiguity”. Either value or ambiguity depend on two parameters connected the first with the optimistic/pessimistic point of view of the decision maker and the second on an additive measure that can be used to express the decision maker’s preferences

UNA PROPOSTA DI APPLICAZIONE DI UN FUNZIONALE VARIAZIONALE AL PROBLEMA DELLA DIFFUSIONE DI TECNOLOGIE

Quaderno del Dipartimento di Scienze Economiche e Matematico-Statistiche, Collana di Matematica, Università del Salent

A New Proposal of Parametric Similarity Measures with Application in Decision Making

We introduce a general equality index for two fuzzy values, proposing a parametric family of similarity measures between two fuzzy vectors, and investigating the mathematical properties. Subsequently we construct a class of parametric similarity measures, showing how the proposed approach extends and generalizes previously proposed framework in the context of decision making problem. The proposed approach can support decision maker under complex situations. An application of the proposed method is also given

A Political Scenario Faced by a New Evaluation of Intuitionistic Fuzzy Quantities

We deal with the problem of evaluating and ranking intu- itionistic fuzzy quantitities (IFQs). We call IFQ an intuitionistic fuzzy set (IFS) described by a pair of fuzzy quantities, where a fuzzy quan- tity is defined as the union of two, or more, generalized fuzzy numbers. We suggest an evaluation defined by a pair index based on “value” & “ambiguity” and a ranking method based on them

L'immunizzazione finanziaria semideterministica in presenza di tassi di interesse discontinui

In questo lavoro si esamina la teoria della imminuzzazione finanziaria semideterministica nel caso in cui la struttura dei prezzi, e quindi dei tassi di interesse, non è necessariamente continua. Quindi in questo caso non è detto che sia definita l'intensità istantanea di interesse