Risk model in fuzzy environments

In this paper, we consider a risk model in which the individual claim amount is assumed to be a random variable with fuzzy parameters and the claim number process is characterized as Poisson process with fuzzy intensity λ. The mean chance of the ultimate ruin is researched. Particularly, the expressions of the mean chance of the ultimate ruin are obtained for zero initial surplus and arbitrary initial surplus if individual claim amount is exponentially distributed random fuzzy variable. The results obtained in this paper coincide with those in stochastic case when fuzzy parameters degenerate to constant parameters. Finally, a numerical example is presented.