Abstract
This paper focuses on the optimal investment proportion problem of insurance premium for an insurer in uncertain environments. Two uncertain investment models with ruin constraint are investigated, namely, an investment model with ruin constraint and constant per unit time premium (CPRCIM) and an investment model with ruin constraint and variable premium (VPRCIM), where the individual claim amounts are assumed as uncertain variables and the claim numerical processes are characterized as uncertain renewal processes. The equivalent forms of the above investment models are investigated, particularly, the expressions are given for normal distributed uncertain investment interest rate and lognormal distributed uncertain individual claim amount.
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Acknowledgments
The authors would like to thank the anonymous referee experts for the amendments and valuable advice to perfect the work.
This work was supported by Tianjin Key Lab of Intelligent Computing and Novel Software Technology, Key Laboratory of Computer Vision and System, Ministry of Education, the National Science Foundation of China under Grant No. 61170301 and an education commission project under grant No. 20110801.
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Song, Qf., Shi, K. (2013). Uncertain Investment Models for an Insurer with Ruin Constraint. In: Qi, E., Shen, J., Dou, R. (eds) The 19th International Conference on Industrial Engineering and Engineering Management. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-38433-2_103
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DOI: https://doi.org/10.1007/978-3-642-38433-2_103
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