Abstract
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.
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This work was supported by National Natural Science Foundation of China Grants No.70833003 and No.91024032.
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Liu, B. Extreme value theorems of uncertain process with application to insurance risk model. Soft Comput 17, 549–556 (2013). https://doi.org/10.1007/s00500-012-0930-5
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DOI: https://doi.org/10.1007/s00500-012-0930-5