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On a fuzzy cash flow model with insurance applications

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  • Daniela Ungureanu
  • Raluca Vernic

Abstract

We consider a discrete-time model for the cash flow of an insurance portfolio/business in which the net losses are random variables, while the return rates are fuzzy numbers. We choose the shape of these fuzzy numbers trapezoidal, Gaussian or lognormal, the last one having a more flexible shape than the previous ones. For the resulting fuzzy model, we evaluate the fuzzy present value of its wealth; then, we propose an approximation for the chance of ruin and a ranking criterion which could be used to compare different risk management strategies. Copyright Springer-Verlag Italia 2015

Suggested Citation

  • Daniela Ungureanu & Raluca Vernic, 2015. "On a fuzzy cash flow model with insurance applications," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 39-54, April.
    • Handle: RePEc:spr:decfin:v:38:y:2015:i:1:p:39-54
    DOI: 10.1007/s10203-014-0157-2
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    References listed on IDEAS

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    1. Lemaire, Jean, 1990. "Fuzzy Insurance," ASTIN Bulletin, Cambridge University Press, vol. 20(1), pages 33-55, April.
    2. Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009. "Risk model with fuzzy random individual claim amount," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February.
    3. Shapiro, Arnold F., 2004. "Fuzzy logic in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 399-424, October.
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