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

页码：2495 / 2502

页数：8

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