• DocumentCode
    2024183
  • Title

    Risk model in fuzzy environments

  • Author

    Zhao, Xiao-yan ; Gao, Jing-gui ; Ming-qing Zhao

  • Author_Institution
    Coll. of Inf. Sci. & Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
  • Volume
    2
  • fYear
    2010
  • fDate
    10-12 Aug. 2010
  • Firstpage
    922
  • Lastpage
    926
  • Abstract
    In this paper, we consider a risk model in which the individual claim amount is assumed to be a random variable with fuzzy parameters and the claim number process is characterized as Poisson process with fuzzy intensity λ. 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 exponentially distributed random fuzzy variable. The results obtained in this paper coincide with those in stochastic case when fuzzy parameters degenerate to constant parameters. Finally, a numerical example is presented.
  • Keywords
    finance; fuzzy set theory; risk analysis; stochastic processes; Poisson process; fuzzy environments; fuzzy intensity; fuzzy parameters; initial surplus; risk model; stochastic case; Chromium; Insurance; Investments; Numerical models; Random variables; Stochastic processes; Uncertainty;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Fuzzy Systems and Knowledge Discovery (FSKD), 2010 Seventh International Conference on
  • Conference_Location
    Yantai, Shandong
  • Print_ISBN
    978-1-4244-5931-5
  • Type

    conf

  • DOI
    10.1109/FSKD.2010.5569126
  • Filename
    5569126