New definitions of mean value and variance of fuzzy numbers: An application to the pricing of life insurance policies and real options

被引：8

作者：

Anzilli, Luca ^{[1
]}

Facchinetti, Gisella ^{[1
]}

机构：

[1] Univ Salento, Dept Management Econ Math & Stat, Lecce, Italy

来源：

INTERNATIONAL JOURNAL OF APPROXIMATE REASONING | 2017年 / 91卷

关键词：

Bounded variation functions; Variance; Mean value; Fuzzy numbers; Fuzzy insurance; Real options;

D O I：

10.1016/j.ijar.2017.09.001

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

We propose a new definition of mean value and variance for fuzzy numbers whose membership functions are upper-semicontinuous but are not necessarily continuous. Our proposal uses the total variation of bounded variation functions. The proposed concepts are used for the evaluation of insurance contracts and real options in a fuzzy framework. (C) 2017 Elsevier Inc. All rights reserved.

引用

页码：96 / 113

页数：18

共 18 条

[1] A New Magnitude Possibilistic Mean Value and Variance of Fuzzy Numbers
Gong Yanbing
Hu Na
Liu Gaofeng
International Journal of Fuzzy Systems, 2016, 18 : 140 - 150
[2] A New Magnitude Possibilistic Mean Value and Variance of Fuzzy Numbers
Gong Yanbing
Hu Na
Liu Gaofeng
INTERNATIONAL JOURNAL OF FUZZY SYSTEMS, 2016, 18 (01) : 140 - 150
[3] The new weighted magnitude mean value and variance of fuzzy numbers
Gong, Yanbing
JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2014, 26 (05) : 2303 - 2313
[4] Possibilistic Mean Value and Variance of Fuzzy Numbers: Some Examples of Application
Carlsson, Christer
Fuller, Robert
2009 IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS, VOLS 1-3, 2009, : 587 - +
[5] On possibilistic mean value and variance of fuzzy numbers
Carlsson, C
Fullér, R
FUZZY SETS AND SYSTEMS, 2001, 122 (02) : 315 - 326
[6] On the possibilistic mean value and variance of multiplication of fuzzy numbers
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JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2009, 232 (02) : 327 - 334
[7] Real Options Value by Monte Carlo Simulation and Fuzzy Numbers
Lazo, Juan G. Lazo
Vellasco, Marley Maria B. R.
Pacheco, Marco Aurelio C.
Dias, Marco Antonio G.
INTERNATIONAL JOURNAL OF BUSINESS, 2007, 12 (02): : 181 - 189
[8] Fair value of life liabilities with embedded options: An application to a portfolio of Italian insurance policies.
Andreatta, G
Corradin, S
INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 443 - 444
[9] Mean Value and Variance of Fuzzy Numbers with Non-continuous Membership Functions
Anzilli, Luca
Facchinetti, Gisella
SOFT METHODS FOR DATA SCIENCE, 2017, 456 : 1 - 8
[10] Determination of real options value by Monte Carlo Simulation and Fuzzy Numbers
Lazo, JGL
Vellasco, MMBR
Pacheco, MAC
HIS 2005: 5th International Conference on Hybrid Intelligent Systems, Proceedings, 2005, : 488 - 493

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