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
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