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.

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

Anzilli, Luca
;
Facchinetti, Gisella
2017

Abstract

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11587/416884
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