Risk model with fuzzy random individual claim amount
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 192 (2009)
Issue (Month): 3 (February)
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Web page: http://www.elsevier.com/locate/eor
Risk model Mean chance Ruin Aggregate claims Fuzzy variable Fuzzy random variable;
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