Credibilistic value and average value at risk in fuzzy risk analysis

Decision making in real world is usually made in fuzzy environment and subject to fuzzy risks. The value at risk (VaR) is a widely used tool in risk management and the average value at risk (AVaR) is a risk measure which is a superior alternative to VaR. In this paper, we present a methodology for f...

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Bibliographic Details
Published inFuzzy information and engineering Vol. 3; no. 1; pp. 69 - 79
Main Author Peng, Jin
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer-Verlag 01.03.2011
Taylor & Francis Group
Subjects
Algorithms
Computational Intelligence
Computer simulation
Decision analysis
Decision making
Engineering
Fuzzy logic
Fuzzy sets
Original Article
Risk analysis
Risk management
Credibility theory
Fuzzy simulation
Fuzzy risk analysis
Credibilistic VaR (AVaR)
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ISSN1616-8658
1616-8666
1616-8666
DOI10.1007/s12543-011-0067-8

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Summary:Decision making in real world is usually made in fuzzy environment and subject to fuzzy risks. The value at risk (VaR) is a widely used tool in risk management and the average value at risk (AVaR) is a risk measure which is a superior alternative to VaR. In this paper, we present a methodology for fuzzy risk analysis based on credibility theory. First, we present the new concepts of the credibilistic VaR and credibilistic AVaR. Next, we examine some properties of the proposed credibilistic VaR and credibilistic AVaR. After that, a kind of fuzzy simulation algorithms are given to show how to calculate them. Finally, a numerical example is illustrated. The proposed credibilistic VaR and credibilistic AVaR are suitable for use in many real problems of fuzzy risk analysis.
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ISSN:1616-8658
1616-8666
1616-8666
DOI:10.1007/s12543-011-0067-8