Value-at-risk in uncertain random risk analysis

DOI10.1016/J.INS.2017.01.034zbMATH Open1429.91090OpenAlexW2585520230MaRDI QIDQ2293147FDOQ2293147

Authors: Yuhan Liu, Dan A. Ralescu 

Publication date: 7 February 2020

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2017.01.034

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zbMATH Keywords

risk analysischance measureuncertainty theoryuncertain random variable

Mathematics Subject Classification ID

Risk models (general) (91B05)

Cites Work

• Theory and practice of uncertain programming.
• Prospect Theory: An Analysis of Decision under Risk
• Uncertainty theory
• A sufficient and necessary condition of uncertainty distribution
• Safety First and the Holding of Assets
• Uncertain random programming with applications
• Multi-objective optimization in uncertain random environments
• Uncertain random variables: a mixture of uncertainty and randomness
• Risk index in uncertain random risk analysis
• Uncertain random multilevel programming with application to production control problem
• Uncertainty theory
• Risk metrics of loss function for uncertain system

Cited In (22)

• Uncertain random bilevel programming models and their application to shared capacity routing problem
• Title not available (Why is that?)
• Uncertain single-machine scheduling with deterioration and learning effect
• Title not available (Why is that?)
• An uncertain two-echelon fixed charge transportation problem
• How to estimate the value at risk under incomplete information
• Probability equivalent level of value at risk and higher-order expected shortfalls
• Two-degree-of-freedom Ellsberg urn problem
• Belief reliability analysis of multi-state deteriorating systems under epistemic uncertainty
• PRINCIPAL COMPONENT VALUE AT RISK
• Uncertain random mean–variance–skewness models for the portfolio optimization problem
• Critical value-based Asian option pricing model for uncertain financial markets
• Probability-unbiased Value-at-Risk estimators
• Avoiding zero probability events when computing value at risk contributions
• Tail value-at-risk in uncertain random environment
• Risk index in uncertain random risk analysis
• Value-at-risk via mixture distributions reconsidered
• Portfolio selection of uncertain random returns based on value at risk
• An environmental supply chain network under uncertainty
• A study on the randomness of economics' system risk
• Risk analysis via Łukasiewicz logic
• Explicit investment setting in a Kaldor macroeconomic model with macro shock

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