1,721,021 research outputs found
La matematica nelle assicurazioni sulla vita. Valutazione di polizze index-linked
Full text linkItLa presente nota prende in esame le polizze assicurative indexlinked,che si collocano all'interno dell'ampio panorama delle innovative forme di assicurazione sulla vita (a restazioni flessibili) ad alto contenuto finanziario. Le polizze index-linked sono contratti di assicurazione sulla vita in cui l'entità del capitale assicurato dipende dal valore di un indice azionario o di un altro valore di riferimento. Questi prodotti possono offrire delle garanzie (ad esempio un capitale minimo). I particolari meccanismi di rivalutazione che caratterizzano tali forme assicurative determinano nella struttura finanziaria delle polizze stesse la presenza di opzioni (finanziarie) implicite. Il calcolo del prezzo e della rischiosità delle opzioni implicite si rivela pertanto fondamentale ai fini della valutazione del portafoglio polizze di una compagnia di assicurazioni operante nel ramo vita e, più in generale, è uno strumento essenziale nell'analisi dell'utile e nelle politiche di asset-liability management assicurativo. Nella nota è illustrato il modello matematico per la valutazione di una polizza index-linked mista con minimo garantito. E' presentato inoltre un esempio numerico ed un codice scritto in Visual Basic per Microsoft Excel che permette di valutare con il metodo Monte Carlo il premio unico di mercato di una particolare polizza index-linked mista
Sull'utile generato da polizze index-linked
No full textSi prende in esame il problema della valutazione di polizze assicurative index-linked. In particolare si studia il valore di mercato dell’utile finanziario generato da tali polizze. L’analisi è svolta nell’ambito di un modello a tempo continuo
A POSSIBILISTIC APPROACH TO INVESTMENT DECISION MAKING
No full textThe concept of possibilistic mean value and variance of fuzzy numbers has been applied
to investment decisions by using a nonlinear type of fuzzy numbers called adaptive fuzzy
numbers. In this paper, by extending the notion of adaptive fuzzy number, we propose a
more flexible methodology. Our aim is to allow decision maker more flexibility in dealing
with ambiguity and uncertainty. To illustrate the use of our approach and its ability in
dealing with ambiguity and imprecision we analyze, as an application, the fuzzy net
present value of future cash flows and give some numerical results
A Fuzzy Quantity Mean-Variance View and Its Application to a Client Financial Risk Tolerance Model
Full text linkIn this paper, we associate a probability distribution to a fuzzy variable represented by a continuous
fuzzy quantity, where a fuzzy quantity is a fuzzy set that may be nonnormal and/or nonconvex. Our
proposal is quite general and contains as particular cases other transformations presented in the
literature. Furthermore, we define the variance of a fuzzy quantity as the variance of the probability
distribution associated with it. The proposed variance agrees in the case of fuzzy numbers with
the possibilistic one introduced by Irina Georgescu. We also apply our transformation to the
evaluation of fuzzy quantities. The expected value of such probability distribution agrees with
those introduced for fuzzy numbers by other authors; moreover, it matches the defuzzification value
of a fuzzy quantity proposed by the same authors in other papers. To capture more information
contained in a fuzzy quantity, or for ranking problems, we suggest to evaluate it by means of
the pair mean variance, using the probability distribution associated with it. To illustrate how our
method works, we apply it to evaluate the financial risk tolerance of a bank client using a fuzzy
inference system
Ambiguity of Fuzzy Quantities and a New Proposal for their Ranking
No full textWe deal with the problem of evaluating and ranking fuzzy quantities. 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
The Total Variation of Bounded Variation Functions to Evaluate and Rank Fuzzy Quantities
Full text linkIn this paper, we present a different approach to introduce evaluation and ranking of fuzzy quantities. These general fuzzy sets are obtained by the union of several fuzzy sets. They are neither normal nor convex. The idea we have followed is to use the total variation and the bounded
variation function definitions applied to the membership function of a fuzzy set to introduce its evaluation. This approach has produced that the well-known method of area compensation, introduced by Fortemps and Roubens only in a geometrical framework, is now presented in a general contest and useful for any fuzzy set. Moreover, this new representation formula provides
an α-cut view. This aspect, absent in Fortemps and Roubens paper, offers an evaluation by
a weighted average of alfa-cuts values, where the weights are connected with the number of
subintervals that produce every α-cut. Following the same idea, we have introduced the ambiguity
definition of a general fuzzy set. By this new definition of evaluation and the consequent ambiguity,
we present a way to rank fuzzy quantities
Cooperative R&D investment decisions: A fuzzy real option approach
No full textWe study the optimal firms' strategies in an R&D oligopoly environment for different types of cooperative agreements under fuzzy uncertainty about the effects of cooperation. We address the problem as an R&D fuzzy bargaining game, in which the firms' fuzzy payoffs are computed using the real exchange option methodology that takes into account the managerial flexibility embedded in the R&D opportunities. The main novelty of our contribution is the parametric description both of the intensity of the collaboration for each dimension involved in the agreement and of its fuzzy impact on the firms' payoffs. Interestingly, we show that the degree of imprecise knowledge has a significant impact on the strategic alliances adopted by firms. (c) 2022 Elsevier B.V. All rights reserved
An Alpha-Cut Evaluation of Interval-Valued Fuzzy Sets for Application in Decision Making
No full textIn this paper we deal with the problem of evaluating an interval-valued fuzzy set, that is a fuzzy quantity delimited by two (lower and upper) membership functions. The problem of associating this type of set with a real number has been dealt with in different ways. Karnik and Mendel proposed an algorithm for computing the mean of centroids of membership functions that lie within the area delimited by the lower and upper memberships. Nie and Tan choose a simpler way by calculating the centroid of the average of the lower and upper membership functions. In both cases, the value obtained is useful not only in ranking problems but also as a value of defuzzification if the set is the final output of a fuzzy inference system. Since in this last case the obtained set is usually not normal and not convex, the centroid seems to be the only useful defuzzifier. Our purpose is to show that other methods based on alpha-cuts, usually applied in convex type-1 case, can also provide useful answers
Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework
No full textSugeno Integral Based Pandemic Risk Assessment
No full textComplex situations such as pandemics generally lead to consider different sources of information in the analysis. We propose a general framework for coronavirus risk assessment based on multi-criteria decision aiding (MCDA) where input variables are indicators expressed on the basis of qualitative-ordinal scales. The proposed approach, based on Sugeno Utility Functionals, makes the problem setting easy to interpret and allows us to reflect the policy-makers’ opinions on the importance of each indicator or subset of indicators. Interestingly, our approach is related to if-then rule-based systems adopted by some Governments for pandemic risk assessment and restriction policy planning
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