Analysis of the Life Insurer’s Solvency in Whole Life Annuities Using Fuzzy Parameters Jorge de Andrés Sanchez, M. Gloria Barberà, Aurelio Fernández, Antonio Terceño 1. Introduction In order to analyze actuarial annuities it is necessary to model two phenomena. The first one has a demographic character – the behavior of mortality within a specific group. The second one has an economic and financial character: interest rates and future inflation rates. Respecting the first, there is no doubt about its stochastic behavior. Nonetheless, in the last years the actuarial science efforts have been focusing in formaliz- ing the uncertainty related to the economic and financial phenomenon, by means of the theory of stochastic processes. Within the economic and financial parameters, the most important is, undoubtedly, the interest rate used to price the contracts that should be based in the average re- turn to be obtained by a company along the duration of the contracts. In this sense are remarkable the works by Boyle (1976), Panjer and Bell- house (1980), Giaccotto (1986) or Beekman and Fuelling (1990). Not all authors agree in modeling interest rate uncertainty consider- ing this variable as random. Gerber (1995) explains that we can consid- er interest rates behaving randomly in the short term, but not in the long term. And it is precisely in the long term where life insurance contracts are usually located. Lemaire (1990) shows possible applications to the theory of fuzzy sets in actuarial science. Among these applications he points out the actuarial pricing through fuzzy interest rates. He consid- ers (as well as we do) this tool a more realistic assumption for estimat- ing interest rates in the long term. Other papers in this way are Os- tasiewski (1993), Terceño et al. (1996), Betzuen et al. (1997) and Bonet et al. (1999), debtors of developments in fuzzy financial mathematics by