Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach

Tank F., Gebizlioglu O., Apaydin A.

INSURANCE MATHEMATICS & ECONOMICS, vol.38, no.1, pp.189-194, 2006 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 38 Issue: 1
  • Publication Date: 2006
  • Doi Number: 10.1016/j.insmatheco.2005.09.003
  • Journal Name: INSURANCE MATHEMATICS & ECONOMICS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.189-194
  • Keywords: dependence, FGM distribution family, fuzzy mathematical programming, dependent risks, coefficient of dependency, uncertainty, imprecision, GUMBEL-MORGENSTERN DISTRIBUTIONS, STOP-LOSS PREMIUMS, ACTUARIAL SCIENCE, COMONOTONICITY, FINANCE
  • Ankara University Affiliated: No

Abstract

Frechet bounds for distribution of sum of dependent risks and Farlie-Gumbel-Morgenstein (FOM) distribution family are suggested for the analysis of dependent risks. Behaviour of the coefficient of dependency in FGM distribution is investigated by fuzzy approach. Deliberations are made for the dependency and uncertainty context. (c) 2005 Elsevier B.V. All fights reserved.