Yuming Zhu
ABSTRACT
To investigate the risk of ruin in uncertainty environment is important for avoiding the potential problem and taking some precaution. However, the effect of uncertain environment on the risk of ruin is largely vague. This paper uses uncertain theory to study the risk model in an uncertain environment, in which the claim sizes are influenced by an external uncertain process. Recursive equations for finite time ruin rate and uncertainty distribution of the first hitting time are derived. Aslo, the ultimate ruin rate and the joint certainty distribution of surplus before and after ruin are obtained.
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Index Terms
- An Recursive Algorithm for Ruin Risk in Uncertain Random Environment
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