Value-at-risk in uncertain random risk analysis

被引：34
|
作者：
Liu, Yuhan [1 ]
Ralescu, Dan A. [1 ]
机构：
[1] Univ Cincinnati, Dept Math Sci, Cincinnati, OH 45221 USA
来源：
INFORMATION SCIENCES | 2017年 / 391卷
基金：
中国国家自然科学基金;
关键词：
Risk analysis; Uncertainty theory; Uncertain random variable; Chance measure;
D O I：
10.1016/j.ins.2017.01.034
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Uncertain random variables provide a tool to deal with phenomena in which uncertainty and randomness simultaneously exist. This paper proposes a concept of Value-at-risk to quantify the risk of an uncertain random system. In addition, a value-at-risk theorem is proved in order to calculate the value-at-risk, and is applied to series systems, parallel system, k-out-of-n system, standby system, and structural system. (C) 2017 Elsevier Inc. All rights reserved.
引用
收藏
页码：1 / 8
页数：8
相关论文
共 50 条
  • [1] Tail value-at-risk in uncertain random environment
    Liu, Yuhan
    Ralescu, Dan A.
    Xiao, Chen
    Lio, Waichon
    [J]. SOFT COMPUTING, 2020, 24 (04) : 2495 - 2502
  • [2] Tail value-at-risk in uncertain random environment
    Yuhan Liu
    Dan A. Ralescu
    Chen Xiao
    Waichon Lio
    [J]. Soft Computing, 2020, 24 : 2495 - 2502
  • [3] Uncertain random portfolio optimization model with tail value-at-risk
    Li, Qiqi
    Qin, Zhongfeng
    Yan, Yingchen
    [J]. SOFT COMPUTING, 2022, 26 (18) : 9385 - 9394
  • [4] Uncertain random portfolio optimization models based on value-at-risk
    Qin, Zhongfeng
    Dai, Yuanzhen
    Zheng, Haitao
    [J]. JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2017, 32 (06) : 4523 - 4531
  • [5] Uncertain random portfolio optimization model with tail value-at-risk
    Qiqi Li
    Zhongfeng Qin
    Yingchen Yan
    [J]. Soft Computing, 2022, 26 : 9385 - 9394
  • [6] A Value-at-Risk Analysis of Credit Risk in Romania
    Herghiligiu, Roxana
    [J]. INNOVATION VISION 2020: FROM REGIONAL DEVELOPMENT SUSTAINABILITY TO GLOBAL ECONOMIC GROWTH, VOL I-VI, 2015, : 3070 - 3073
  • [7] A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
    Shiraz, Rashed Khanjani
    Tavana, Madjid
    Fukuyama, Hirofumi
    [J]. SOFT COMPUTING, 2020, 24 (22) : 17167 - 17186
  • [8] A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
    Rashed Khanjani Shiraz
    Madjid Tavana
    Hirofumi Fukuyama
    [J]. Soft Computing, 2020, 24 : 17167 - 17186
  • [9] Subadditivity of Value-at-Risk for Bernoulli random variables
    Hofert, Marius
    McNeil, Alexander J.
    [J]. STATISTICS & PROBABILITY LETTERS, 2015, 98 : 79 - 88
  • [10] Tsallis value-at-risk: generalized entropic value-at-risk
    Zou, Zhenfeng
    Xia, Zichao
    Hu, Taizhong
    [J]. PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2024, 38 (01) : 1 - 20
12345