4.4 Article

Risk metrics of loss function for uncertain system

期刊

FUZZY OPTIMIZATION AND DECISION MAKING
卷 12, 期 1, 页码 53-64

出版社

SPRINGER
DOI: 10.1007/s10700-012-9146-5

关键词

Uncertainty theory; Loss function; Risk metrics; Value at risk; Tail value at risk

资金

  1. National Natural Science Foundation [60874067]
  2. Hubei Provincial Natural Science Foundation [2010CDB02801]
  3. Scientific and Technological Innovation Team Project of Hubei Provincial Department of Education, China [T201110]

向作者/读者索取更多资源

Real-life decisions are usually made in the state of uncertainty or risk. In this article we present two types of risk metrics of loss function for uncertain system. Firstly, the concept of value at risk (VaR) of loss function is introduced based on uncertainty theory and its fundamental properties are examined. Then the tail value at risk (TVaR) concept of loss function is evolved and some fundamental properties of the proposed TVaR are investigated. Both the VaR and TVaR are harmonious risk metrics. The suggested VaR or TVaR methodology can be widely used as tools of risk analysis in uncertain environments.

作者

我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。

评论

主要评分

4.4
评分不足

次要评分

新颖性
-
重要性
-
科学严谨性
-
评价这篇论文

推荐

暂无数据
暂无数据