模糊随机环境中的风险模型

2010 IEEE International Conference on Intelligent Computing and Intelligent Systems Pub Date : 2010-12-06 DOI:10.1109/ICICISYS.2010.5658344

Tao Huang, Jinghua Diao

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引用次数: 2

摘要

本文考虑了一种风险模型，该模型将索赔数过程描述为模糊随机泊松过程，并将个人索赔金额假设为模糊随机变量。研究了最终毁灭的平均几率。得到了零初始剩余和任意初始剩余情况下最终破产的平均概率表达式。本文的结果与模糊随机变量退化为随机变量时的结果一致。最后给出了一个数值算例。关键词:风险模型;意味着机会;毁了;总索赔;模糊变量;模糊随机变量

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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. Keywords: Risk model; Mean chance; Ruin; Aggregate claims; Fuzzy variable; Fuzzy random variable

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2010 IEEE International Conference on Intelligent Computing and Intelligent Systems

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