Using fuzzy logic to interpret dependent risks

Using fuzzy logic to interpret dependent risks

One reason why an independent claim amounts assumption underlies classic risk models is because it simplifies calculations. As an alternative, this paper investigates the dependence structure via the Farlie–Gumbel–Morgenstern (FGM) Copula and its interpretation given a fuzzy logic approach for claim...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2018-03, Vol.79, p.101-106
Hauptverfasser: Kemaloglu, Sibel Acik, Shapiro, Arnold F., Tank, Fatih, Apaydin, Aysen
Format: Artikel
Sprache:eng
Schlagworte:
Dependence
Dependent risk
FGM copula
Fuzzy logic
Fuzzy membership function
Linear programming
Mathematical analysis
Mathematical models
Pareto distribution
Pareto optimum
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Zusammenfassung:One reason why an independent claim amounts assumption underlies classic risk models is because it simplifies calculations. As an alternative, this paper investigates the dependence structure via the Farlie–Gumbel–Morgenstern (FGM) Copula and its interpretation given a fuzzy logic approach for claim amounts arising from a Pareto distribution.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2018.01.001