Risk Process with Uncertain Claims Amount

Agata Girul , Edyta Mazurek

Abstract

The contribution is devoted to the risk process in which the claims amount are uncertain. The uncertainty is modeled using the randomness and fuzzines simultaneously and the claim amount are treated as the fuzzy random variable. The definition of the fuzzy random variables proposed by Kwakernaak (1978, 1979) is used in this contribution. The problem connected with the ruin of such process is investigated and some numerical examples are presented. The situation when the initial capital is equal zero is studied and the fuzzy ruin and the mean value of it are computed for the fuzzy exponential random variables. The spread of fuzzy ruin, the measure of uncertainty, is investigated
Author Agata Girul (MISaF)
Agata Girul,,
- Faculty of Management, Information Systems and Finance
, Edyta Mazurek (MISaF / IZM / DoS)
Edyta Mazurek,,
- Department of Statistics
Pages144-153
Publication size in sheets0.5
Book Hronova Stanislava, Ptackova Veronika, Safr Karel, Vltavska Kristyna (eds.): Applications of Mathematics and Statistics in Economics 2018, Conference Proceedings. Full text papers, 2018, University of Economics, Prague, Oeconomica Publishing House, ISBN 9788024522777, 360 p.
Keywords in Englishrisk process, probability of ruin, fuzzy numbers, fuzzy random variables, uncertainty
URL http://www.amse-conference.eu/old/2018/?page_id=1314
Languageen angielski
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