Title :
Risk analysis of double-type-insurance with investment in uncertain environments
Author :
Qingfeng Song ; Kai Shi
Author_Institution :
Sch. of Sci., Tianjin Inst. of Urban Constr., Tianjin, China
Abstract :
This paper focuses on the problem of risk analysis when investment is considered for an insurer in an uncertain environment, where the individual claim amount is assumed as a fuzzy random variable and the claim number processes are characterized as Poisson processes. To minimize the mean chance of ultimate ruin, a double-type-insurance risk model with an investment (DIRM) is built, particularly, the expression of the mean ruin chance of the DIRM is given for the case of zero and positive initial surplus and exponentially distributed fuzzy random individual claim amount. A numerical example solved by a monkey algorithm based on fuzzy simulation (FSMA) shows that investment is an indispensable factor for the ultimate ruin of the insurance companies.
Keywords :
fuzzy set theory; insurance; investment; minimisation; random processes; risk analysis; stochastic processes; DIRM; FSMA; Poisson processes; claim number processes; double-type-insurance risk model with investment; exponentially distributed fuzzy random individual claim amount; fuzzy random variable; fuzzy simulation; insurance companies; mean ultimate ruin chance minimization; monkey algorithm; positive initial surplus; risk analysis problem; uncertain environments; zero initial surplus; double-type-insurance; fuzzy variable; investment; monkey algorithm; risk analysis;
Conference_Titel :
Communication Technology (ICCT), 2012 IEEE 14th International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4673-2100-6
DOI :
10.1109/ICCT.2012.6511412