Extreme value theorems of uncertain process with application to insurance risk model (Q1955464): Difference between revisions
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Latest revision as of 12:07, 6 July 2024
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English | Extreme value theorems of uncertain process with application to insurance risk model |
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Extreme value theorems of uncertain process with application to insurance risk model (English)
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11 June 2013
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This is a further contribution to the author's uncertainty theory introduced in 2004 and 2007 (see [Uncertainty theory. An introduction to its axiomatic foundations. Berlin: Springer (2004; Zbl 1072.28012); Berlin: Springer (2007; Zbl 1141.28001)]). In the present paper he proves some extreme value theorems of so-called uncertain independent increment processes and provides their uncertainty distribution of the first hitting time. The author also presents an uncertain insurance model by assuming that the claim is a renewal reward process, and proves a ruin index theorem.
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uncertainty theory
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uncertain process
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extreme value theorem
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finance
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insurance
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risk
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