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Uncertain Investment Models for an Insurer with Ruin Constraint

In: The 19th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Qing-feng Song

    (Tianjin Institute of Urban Construction)

  • Kai Shi

    (Tianjin University of Technology)

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.

Suggested Citation

  • Qing-feng Song & Kai Shi, 2013. "Uncertain Investment Models for an Insurer with Ruin Constraint," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), The 19th International Conference on Industrial Engineering and Engineering Management, edition 127, chapter 0, pages 977-988, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-38433-2_103
    DOI: 10.1007/978-3-642-38433-2_103
    as

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