• Title of article

    Risk model with fuzzy random individual claim amount

  • Author/Authors

    Tao Huang، نويسنده , , Ruiqing Zhao، نويسنده , , Wansheng Tang، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2009
  • Pages
    12
  • From page
    879
  • To page
    890
  • Abstract
    In this paper, we consider a risk model in which individual claim amount is assumed to be a fuzzy random variable and the claim number process is characterized as a Poisson process. The mean chance of the ultimate ruin is researched. Particularly, the expressions of the mean chance of the ultimate ruin are obtained for zero initial surplus and arbitrary initial surplus if individual claim amount is an exponentially distributed fuzzy random variable. The results obtained in this paper coincide with those in stochastic case when the fuzzy random variables degenerate to random variables. Finally, two numerical examples are presented.
  • Keywords
    Risk model , Mean chance , Ruin , Aggregate claims , Fuzzy variable , Fuzzy random variable
  • Journal title
    European Journal of Operational Research
  • Serial Year
    2009
  • Journal title
    European Journal of Operational Research
  • Record number

    1313379