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

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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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Acknowledgments

This work was supported by National Natural Science Foundation of China Grants No.70833003 and No.91024032.

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Authors and Affiliations

  1. Uncertainty Theory Laboratory, Department of Mathematical Sciences, Tsinghua University, Beijing, 100084, China

    Baoding Liu

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  1. Baoding Liu
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Correspondence to Baoding Liu.

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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

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