Extreme Value Theorems of Uncertain Process with Application to Insurance Risk Model

摘要：

　　Uncertain process is a sequence of uncertain variables indexed by time.This paper presents a series of extreme value theorem of uncertain independent increment process and provides uncertainty distribution of first hitting time.This paper also proposes an insurance risk model with uncertain claims.Finally,a concept of ruin index is defined and a ruin index formula is given.

关键词： Uncertainty theory Uncertain process Finance Insurance Risk

作者: Baoding Liu

作者单位: Uncertainty Theory Laboratory,Department of Mathematical Sciences,Tsinghua University,Beijing 100084,China

会议类型: 国内会议

会议名称: 第六届中国智能计算大会

会议地点: 开封

会议语种:英文

页码: 1-10

在线出版日期: 2012-05-25（万方平台首次上网日期，不代表论文的发表时间）