Document Type : Original Research Paper

Authors

• A. Komijani
• Sh. Mohammadi
• M. Kousheshi
• L. Niakan

Department of Economic Sciences, University of Tehran, Iran

Abstract

Annuity insurance is one of the types of life insurance products in which certain periodic payments are guaranteed until the life of the beneficiary of the policy. In the pricing of life annuities, the uncertainty of demographic phenomena and financial variables should be considered. Uncertainty of demographic phenomena is included in the pricing using the death probabilities of the life table, but usually, financial variables are considered fixed during the contract. In the recent studies of actuarial science, random variables and processes are used to introduce the uncertainty of economic parameters - the most important of which is the technical interest rate. In this article, we develop the pricing of life annuities and combine the random expression of mortality with the fuzzy expression of the technical interest rate so that all sources of uncertainty in the pricing are taken into account. This modeling gives the possibility of quantifying the expected risk arising from the aforementioned sources of uncertainty. Therefore, the modeling of the present value of pensions is provided by the fuzzy random variable, and finally, a numerical example is given.

Keywords

• Life Annuity
• Pricing
• Interest Rate
• Fuzzy Random Variables