Using fuzzy logic to interpret dependent risks. (English) Zbl 1401.91155
Summary: One reason why an independent claim amounts assumption underlies classic risk models is because it simplifies calculations. As an alternative, this paper investigates the dependence structure via the Farlie-Gumbel-Morgenstern (FGM) copula and its interpretation given a fuzzy logic approach for claim amounts arising from a Pareto distribution.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 90C05 | Linear programming |
| 90C70 | Fuzzy and other nonstochastic uncertainty mathematical programming |
Keywords:
linear programming; dependent risk; fuzzy membership function; Pareto distribution; FGM copulaReferences:
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