Tail value-at-risk in uncertain random environment

被引：9
|
作者：
Liu, Yuhan [1 ]
Ralescu, Dan A. [1 ]
Xiao, Chen [2 ]
Lio, Waichon [3 ]
机构：
[1] Univ Cincinnati, Dept Math Sci, Cincinnati, OH 45221 USA
[2] Nankai Univ, Sch Finance, Tianjin 300350, Peoples R China
[3] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China
来源：
SOFT COMPUTING | 2020年 / 24卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Risk analysis; Uncertainty theory; Chance theory; Tail value-at-risk;
D O I：
10.1007/s00500-018-3492-3
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Chance theory is a rational tool to be used in the systems which contain not only uncertainty but also randomness. In this paper, the concept of tail value-at-risk in uncertain random risk analysis is proposed and some theorems are provided for its calculation. Moreover, the tail value-at-risk is applied as the right-tail in the parallel system, series system, standby system, k-out-of-n system and structural system.
引用
收藏
页码：2495 / 2502
页数：8
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