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The risk model with investment under fuzzy rate of interest. (Chinese. English summary) Zbl 1374.91046

Summary: Considering the membership functions between premium size and fuzzy rate of interest or claim size and fuzzy rate of interest, a risk model for partial initial capital investment under fuzzy rate of interest is set up. The formula of ultimate ruin probability and the upper bound of ruin probability of this model are obtained. The model is consistent with the actual operation of the insurance company and can be used as a theoretical basis for the effective control of the bankruptcy risk of insurance companies.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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