Risk metrics of loss function for uncertain system

DOI10.1007/S10700-012-9146-5MaRDI QIDQ2418598zbMATH OpenOpenAlexFDO

Authors Jin Peng

Publication date 28 May 2019

Published in Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10700-012-9146-5

zbMATH Keywords

value at riskuncertainty theoryloss functiontail value at riskrisk metrics

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3010031 (Why is no real title available?)
• Fuzzy sets
• Probabilistic risk analysis: Foundations and methods
• Uncertainty theory

Cited in

(16)

• Nonlinear impulsive problems for uncertain fractional differential equations
• Value-at-risk in uncertain random risk analysis
• An uncertain bi-objective mean-entropy model for portfolio selection with realistic factors
• The inverse 1-median location problem on uncertain tree networks with tail value at risk criterion
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• A unit commitment-based fuzzy bilevel electricity trading model under load uncertainty
• Critical value-based Asian option pricing model for uncertain financial markets
• Tail value-at-risk in uncertain random environment
• A stock model with jumps for Itô-Liu financial markets
• Portfolio selection of uncertain random returns based on value at risk
• An efficient uncertain chance constrained geometric programming model based on value-at-risk for truss structure optimization problems
• scientific article; zbMATH DE number 6973785 (Why is no real title available?)
• Stability analysis of nonlinear uncertain fractional differential equations with Caputo derivative
• The risk path selection problem in uncertain network
• The uncertain premium principle based on the distortion function
• Expected loss of uncertain random system

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