On a fuzzy cash flow model with insurance applications

We consider a discrete-time model for the cash flow of an insurance portfolio/business in which the net losses are random variables, while the return rates are fuzzy numbers. We choose the shape of these fuzzy numbers trapezoidal, Gaussian or lognormal, the last one having a more flexible shape than the previous ones. For the resulting fuzzy model, we evaluate the fuzzy present value of its wealth; then, we propose an approximation for the chance of ruin and a ranking criterion which could be used to compare different risk management strategies. Copyright Springer-Verlag Italia 2015