Value-at-risk in uncertain random risk analysis

DOI10.1016/J.INS.2017.01.034MaRDI QIDQ2293147zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

risk analysischance measureuncertainty theoryuncertain random variable

Mathematics Subject Classification ID

Risk models (general) (91B05)

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Cites work

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

Cited in

(26)

• Portfolio selection of uncertain random returns based on value at risk
• A study on the randomness of economics' system risk
• PRINCIPAL COMPONENT VALUE AT RISK
• Tail value-at-risk in uncertain random environment
• Explicit investment setting in a Kaldor macroeconomic model with macro shock
• Two-degree-of-freedom Ellsberg urn problem
• The mean chance conditional value at risk under interval type-2 intuitionistic fuzzy random environment
• scientific article; zbMATH DE number 1978950 (Why is no real title available?)
• Uncertain random mean-variance-skewness models for the portfolio optimization problem
• Uncertain random bilevel programming models and their application to shared capacity routing problem
• Value-at-risk via mixture distributions reconsidered
• Probability equivalent level of value at risk and higher-order expected shortfalls
• Avoiding zero probability events when computing value at risk contributions
• An uncertain two-echelon fixed charge transportation problem
• Risk analysis via Łukasiewicz logic
• Order statistics of uncertain random variables with application to \(k\)-out-of-\(n\) system
• scientific article; zbMATH DE number 5668415 (Why is no real title available?)
• How to estimate the value at risk under incomplete information
• Uncertain single-machine scheduling with deterioration and learning effect
• An environmental supply chain network under uncertainty
• Expected loss of uncertain random system
• Risk index in uncertain random risk analysis
• Probability-unbiased Value-at-Risk estimators
• Critical value-based Asian option pricing model for uncertain financial markets
• Belief reliability analysis of multi-state deteriorating systems under epistemic uncertainty
• Risk metrics of loss function for uncertain system

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