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

DOI10.1007/S00500-012-0930-5MaRDI QIDQ1955464zbMATH OpenOpenAlexFDO

Authors Baoding Liu

Publication date 11 June 2013

Published in Soft Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00500-012-0930-5

zbMATH Keywords

financeriskuncertainty theoryinsuranceuncertain processextreme value theorem

Mathematics Subject Classification ID

Fuzzy measure theory (28E10) Fuzzy probability (60A86)

Recommendations

• A new uncertain insurance model with variational lower limit
• An uncertain alternating renewal insurance risk model
• A modified insurance risk process with uncertainty
• Uncertain insurance risk process with multiple classes of claims
• Uncertainty distribution and independence of uncertain processes

Cites work

• A new option pricing model for stocks in uncertainty markets
• A stock model with jumps for uncertain markets
• American option pricing formula for uncertain financial market
• Existence and uniqueness theorem for uncertain differential equations
• Theory and practice of uncertain programming.
• Uncertain optimal control with application to a portfolio selection model
• Uncertainty theory

Cited in

(40)

• Data envelopment analysis with uncertain inputs and outputs
• Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type
• Uncertain insurance risk process with multiple classes of claims
• A modified insurance risk process with uncertainty
• A new uncertain insurance model with variational lower limit
• A new uncertainty evaluation method and its application in evaluating software quality
• Uncertainty distribution and independence of uncertain processes
• Methoden der Extremwerttheorie zur Bestimmung eines Einzelschaden-Exzedenten im Krankenversicherungsbereich
• Reliability analysis for devices subject to competing failure processes based on chance theory
• First hitting time of uncertain random renewal reward process and its application in insurance risk process
• \(\alpha\)-path stability analysis for uncertain differential equations
• Reliability analysis of the uncertain fractional‐order dynamic system with state constraint
• The capacitated facility location-allocation problem under uncertain environment
• Redundancy optimization of an uncertain parallel-series system with warm standby elements
• First hitting time for renewal process with uncertain interarrival times and random rewards
• Uncertain pharmacokinetic model based on uncertain differential equation
• Uncertain stock model with periodic dividends
• Uncertain renewal process with general rewards
• Reliability modelling considering multi-dimensional cognitive uncertainties based on uncertainty theory
• Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
• Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
• Reliability analysis of the uncertain heat conduction model
• Extreme value analysis of actuarial risks: estimation and model validation
• Solving geometric programming problems with normal, linear and zigzag uncertainty distributions
• An uncertain alternating renewal insurance risk model
• First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
• Extreme values for solution to uncertain fractional differential equation and application to American option pricing model
• Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market
• Uncertain random multilevel programming with application to production control problem
• Uncertain minimum cost multicommodity flow problem
• Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model
• Uncertain contour process and its application in stock model with floating interest rate
• Impacts of risk attitude and outside option on compensation contracts under different information structures
• Uncertain fractional-order multi-objective optimization based on reliability analysis and application to fractional-order circuit with Caputo type
• A novel single-period inventory problem with uncertain random demand and its application
• The risk path selection problem in uncertain network
• Deadline-based incentive contracts in project management with cost salience
• The uncertain premium principle based on the distortion function
• The impacts of private risk aversion magnitude and moral hazard in R\&D project under uncertain environment
• Extreme values of solution of Caputo-Hadamard uncertain fractional differential equation and applications

This page was built for publication: Extreme value theorems of uncertain process with application to insurance risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1955464)