Value-at-risk in uncertain random risk analysis

被引：37
|
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
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