Extreme value theorems of uncertain process with application to insurance risk model

被引:144
作者
Liu, Baoding [1 ]
机构
[1] Tsinghua Univ, Dept Math Sci, Uncertainty Theory Lab, Beijing 100084, Peoples R China
基金
中国国家自然科学基金;
关键词
Uncertainty theory; Uncertain process; Finance; Insurance; Risk;
D O I
10.1007/s00500-012-0930-5
中图分类号
TP18 [人工智能理论];
学科分类号
140502 [人工智能];
摘要
Uncertain process is a sequence of uncertain variables indexed by time. This paper presents a series of extreme value theorem of uncertain independent increment process and provides uncertainty distribution of first hitting time. This paper also proposes an insurance risk model with uncertain claims. Finally, a concept of ruin index is defined and a ruin index formula is given.
引用
收藏
页码:549 / 556
页数:8
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