Explaining the risk premiums of life settlements

Pricing Life Contingencies Linked to Impaired Life Expectancies Using Intuitionistic Fuzzy Parameters

“…Through LSs and the bonds derived from their securitization, investors have alternative assets to invest in, whose returns are uncorrelated with those of conventional financial assets such as stocks and bonds. Finally, from the insurance companies' perspective, investing in LSs can cover the longevity risk associated with life insurance contract liabilities (Kung et al 2021).…”

“…A common approach used to obtain the IRR involves adjusting the yield spread using regression methods, which depend on proxy variables for the risks faced by investors in life insurance policies (Braun and Xu 2020;Kung et al 2021). The analytical frameworks provided by these regression models can be leveraged to implement fuzzy regression.…”

“…Of course, these approaches would yield fuzzy predictions for yield spread. Alternatively, the original econometric models of Braun and Xu (2020) and Kung et al (2021) produce predictions through probabilistic confidence intervals that can be used to fit an FN representation by means of a probability-possibility transformation (Adjenughwure and Papadopoulos 2020;Al-Kandari et al 2020), which may be the basis for inducing intuitionistic quantifications by Definition 7 and Remark 7.…”