Using fuzzy logic to interpret dependent risks

Kemaloglu S., Shapiro A. F., TANK F., APAYDIN A.

Insurance: Mathematics and Economics, cilt.79, ss.101-106, 2018 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 79
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1016/j.insmatheco.2018.01.001
  • Dergi Adı: Insurance: Mathematics and Economics
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.101-106
  • Anahtar Kelimeler: Linear programming, Dependent risk, Fuzzy membership function, Pareto distribution, FGM copula, ACTUARIAL SCIENCE, COMONOTONICITY, FINANCE
  • Ankara Üniversitesi Adresli: Evet

Özet

© 2018 Elsevier B.V.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.