Risk Analysis of Double-Type-Insurance with Investment in Uncertain Environments
This paper focuses on the problem of risk analysis when investment is considered for an insurer in an uncertain environment,where the individual claim amount is assumed as a fuzzy random variable and the claim number processes are characterized as Poisson processes.To minimize the mean chance of ultimate ruin,a double-type-insurance risk model with an investment (DIRM) is built,particularly,the expression of the mean ruin chance of the DIRM is given for the case of zero and positive initial surplus and exponentially distributed fuzzy random individual claim amount.A numerical example solved by a monkey algorithm based on fuzzy simulation (FSMA) shows that investment is an indispensable factor for the ultimate ruin of the insurance companies.
risk analysis double-type-insurance investment fuzzy variable monkey algorithm
Qingfeng Song Kai Shi
School of Science Tianjin Institute of Urban Construction Tianjin, China School of Computer Science & Communication Engineering Tianjin University of Technology Tianjin, Chi
国际会议
2012 IEEE 14th International Conference on Communication Technology(2012年第十四届通信技术国际会议(ICCT 2012))
成都
英文
1496-1500
2012-11-09（万方平台首次上网日期，不代表论文的发表时间）