On a fuzzy cash flow model with insurance applications

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• 作者：Daniela Ungureanu (1)
  Raluca Vernic (2)
  
  1. Faculty of Mathematics and Computer Science ; University of Bucharest ; 14 Academiei St. ; 010014聽 ; Bucharest ; Romania
  2. Faculty of Mathematics and Computer Science ; Ovidius University of Constanta ; 124 Mamaia Blvd. ; 900527聽 ; Constan牛a ; Romania
  
• 关键词：Fuzzy numbers ; Fuzzy random variables ; Fuzzy discrete ; time cash flow model ; Insurance ; Risk management ; Ruin ; Ranking ; G220 ; G110 ; C650
• 刊名：Decisions in Economics and Finance
• 出版年：2015
• 出版时间：April 2015
• 年：2015
• 卷：38
• 期：1
• 页码：39-54
• 全文大小：710 KB
• 参考文献：1. Andr茅s-S谩nchez, J, Gonz谩lez-Vila Puchades, L (2012) Using fuzzy random variables in life annuities pricing. Fuzzy Sets Syst. 188: pp. 27-44 CrossRef
  2. Asmussen, S, Albrecher, H (2010) Ruin Probabilities. World Scientific, Singapore
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  19. Tang, Q, Tsitsiashvili, G (2004) Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments. Adv. Appl. Probab. 36: pp. 1278-1299 CrossRef
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  21. Vernic, R, Ungureanu, D (2011) On two particular fuzzy numbers derived from probability distributions. Sci. Bull. Univ. Pitesti鈥擬ath. Inf. Ser. 17: pp. 101-112
  22. Ward, TL Fuzzy discounted cash flow analysis. In: Evans, GW, Karwowski, W, Wilhelm, MR eds. (1989) Applications of Fuzzy Set Methodologies in Industrial Engineering. Elsevier, Amsterdam, pp. 91-102
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  Econometrics
  Public Finance and Economics
  Finance and Banking
  Management
  Operation Research and Decision Theory
  
• 出版者：Springer Milan
• ISSN：1129-6569

文摘

We consider a discrete-time model for the cash flow of an insurance portfolio/business in which the net losses are random variables, while the return rates are fuzzy numbers. We choose the shape of these fuzzy numbers trapezoidal, Gaussian or lognormal, the last one having a more flexible shape than the previous ones. For the resulting fuzzy model, we evaluate the fuzzy present value of its wealth; then, we propose an approximation for the chance of ruin and a ranking criterion which could be used to compare different risk management strategies.