A modified insurance risk process with uncertainty
文献类型：期刊论文
| 作者 | Yao, Kai1; Qin, Zhongfeng2 |
| 刊名 | Insurance mathematics & economics
 |
| 出版日期 | 2015-05-01 |
| 卷号 | 62页码:227-233 |
| 关键词 | Insurance risk process Uncertain variable Ruin Ruin index Uncertainty theory |
| ISSN号 | 0167-6687 |
| DOI | 10.1016/j.insmatheco.2015.03.029 |
| 通讯作者 | Qin, zhongfeng(qin@buaa.edu.cn) |
| 英文摘要 | An insurance risk process is traditionally considered by describing the claim process via a renewal reward process and assuming the total premium to be proportional to the time with a constant ratio. it is usually modeled as a stochastic process such as the compound poisson process, and historical data are collected and employed to estimate the corresponding parameters of probability distributions. however, there exists the case of lack of data such as for a new insurance product. an alternative way is to estimate the parameters based on experts subjective belief and information. therefore, it is necessary to employ the uncertain process to model the insurance risk process. in this paper, we propose a modified insurance risk process in which both the claim process and the premium process are assumed to be renewal reward processes with uncertain factors. then we give the inverse uncertainty distribution of the modified process at each time. on this basis, we derive the ruin index which has an explicit expression based on given uncertainty distributions. (c) 2015 elsevier b.v. all rights reserved. |
| WOS关键词 | FUZZY-LOGIC ; RUIN ; PROBABILITIES |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| WOS类目 | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability |
| 语种 | 英语 |
| WOS记录号 | WOS:000356196100021 |
| 出版者 | ELSEVIER SCIENCE BV |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2376744 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Qin, Zhongfeng |
| 作者单位 | 1.Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China 2.Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yao, Kai,Qin, Zhongfeng. A modified insurance risk process with uncertainty[J]. Insurance mathematics & economics,2015,62:227-233. |
| APA | Yao, Kai,&Qin, Zhongfeng.(2015).A modified insurance risk process with uncertainty.Insurance mathematics & economics,62,227-233. |
| MLA | Yao, Kai,et al."A modified insurance risk process with uncertainty".Insurance mathematics & economics 62(2015):227-233. |
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来源：中国科学院大学
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