Risk model with fuzzy random individual claim amount

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 r...

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Bibliographic Details
Published in:European journal of operational research 2009-02, Vol.192 (3), p.879-890
Main Authors: Huang, Tao, Zhao, Ruiqing, Tang, Wansheng
Format: Article
Language:English
Subjects:
Aggregate claims
Applied sciences
Exact sciences and technology
Fuzzy logic
Fuzzy random variable
Fuzzy variable
Mean chance
Operational research and scientific management
Operational research. Management science
Poisson distribution
Random variables
Risk
Risk model
Risk model Mean chance Ruin Aggregate claims Fuzzy variable Fuzzy random variable
Risk theory. Actuarial science
Ruin
Stochastic models
Studies
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Summary: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.
ISSN:0377-2217
1872-6860
DOI:10.1016/j.ejor.2007.10.035