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
Link To Document