Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
477415 | European Journal of Operational Research | 2009 | 12 Pages |
Abstract
In 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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Tao Huang, Ruiqing Zhao, Wansheng Tang,