Value-at-risk in uncertain random risk analysis

被引：36
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 21 条
  • [1] [Anonymous], 2009, THEORY PRACTICE UNCE
  • [2] Some Concepts and Theorems of Uncertain Random Process
    Gao, Jinwu
    Yao, Kai
    [J]. INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS, 2015, 30 (01) : 52 - 65
  • [3] PROSPECT THEORY - ANALYSIS OF DECISION UNDER RISK
    KAHNEMAN, D
    TVERSKY, A
    [J]. ECONOMETRICA, 1979, 47 (02) : 263 - 291
  • [4] Uncertain random multilevel programming with application to production control problem
    Ke, Hua
    Su, Taoyong
    Ni, Yaodong
    [J]. SOFT COMPUTING, 2015, 19 (06) : 1739 - 1746
  • [5] Liu B, 2010, J Uncertain Syst, V4, P163
  • [6] Liu B., 2007, Uncertainty theory, V2nd, DOI DOI 10.1007/978-3-642-13959-8
  • [7] Liu B., 2009, J. Uncertain Syst., V3, P3
  • [8] Liu B., 2014, J. Uncertain Syst., V8, P3
  • [9] Liu B., 2015, Uncertainty Theory
  • [10] Risk Index in Uncertain Random Risk Analysis
    Liu, Yuhan
    Ralescu, Dan A.
    [J]. INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS, 2014, 22 (04) : 491 - 504
123