Tail value-at-risk in uncertain random environment

被引：0
|
作者：
Yuhan Liu
Dan A. Ralescu
Chen Xiao
Waichon Lio
机构：
[1] University of Cincinnati,Department of Mathematical Sciences
[2] Nankai University,School of Finance
[3] Tsinghua University,Department of Mathematical Sciences
来源：
Soft Computing | 2020年 / 24卷
关键词：
Risk analysis; Uncertainty theory; Chance theory; Tail value-at-risk;
D O I：
暂无
中图分类号：
学科分类号：
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：7
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