Discrete time credibilistic processes: Construction and convergences

Authors:
Masayuki Kageyama;Kakuzo Iwamura
Affiliations:
The Institute of Statistical Mathematics, Risk Analysis Research Center, 4-6-7 Minami-Azabu, Minato-ku, Tokyo 106-8569, Japan;Department of Mathematics, Josai University, Japan
Venue:
Information Sciences: an International Journal
Year:
2009

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Abstract

In this paper, we discuss a method of constructing a credibilistic process which is a family of fuzzy variables on credibility space. Applying the extension theorem in credibility theory, the finite or infinite horizon credibilistic process is made up from a family of credibilistic kernels. Also, for the Markov case, convergence theorems are given and credibilistic risk models for reward processes are considered, whose risk is completed by the recursive equation.