Risk Model in Fuzzy Random Environments
In this paper, we consider a risk model in which the claim number process is characterized as a fuzzy random Poisson process and the individual claim amount is assumed to be a fuzzy random variable. The mean chance of the ultimate ruin is researched. The expressions of the mean chance of the ultimate ruin are obtained for zero initial surplus and arbitrary initial surplus. The results obtained in this paper coincide with those in stochastic case when the fuzzy random variables degenerate to random variables. Finally, a numerical example is presented.
Risk model Mean chance Ruin Aggregate claims Fuzzy variable Fuzzy random variable
Tao Huang Jinghua Diao
Naval University of Engineering Tianjin Campus Tianjin China, 300450 University of Engineering Tianjin Campus Tianjin China, 300450
国际会议
厦门
英文
361-365
2010-10-29（万方平台首次上网日期，不代表论文的发表时间）