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On a fuzzy cash flow model with insurance applications

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Abstract

We consider a discrete-time model for the cash flow of an insurance portfolio/business in which the net losses are random variables, while the return rates are fuzzy numbers. We choose the shape of these fuzzy numbers trapezoidal, Gaussian or lognormal, the last one having a more flexible shape than the previous ones. For the resulting fuzzy model, we evaluate the fuzzy present value of its wealth; then, we propose an approximation for the chance of ruin and a ranking criterion which could be used to compare different risk management strategies.

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Acknowledgments

The authors gratefully acknowledge the two anonymous referees for insightful questions and suggestions that helped them to revise and significantly improve the paper.

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Authors and Affiliations

  1. Faculty of Mathematics and Computer Science, University of Bucharest, 14 Academiei St., 010014 , Bucharest, Romania

    Daniela Ungureanu

  2. Faculty of Mathematics and Computer Science, Ovidius University of Constanta, 124 Mamaia Blvd., 900527 , Constanţa, Romania

    Raluca Vernic

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  1. Daniela Ungureanu
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  2. Raluca Vernic
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Correspondence to Raluca Vernic.

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Ungureanu, D., Vernic, R. On a fuzzy cash flow model with insurance applications. Decisions Econ Finan 38, 39–54 (2015). https://doi.org/10.1007/s10203-014-0157-2

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  • DOI: https://doi.org/10.1007/s10203-014-0157-2

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