Title :
Two types of fuzzy risk measures with transform functions
Author :
Dong, Wen ; Peng, Jin
Author_Institution :
Inst. of Uncertain Syst., Huanggang Normal Univ., Huanggang, China
Abstract :
Risk analysis is a very important subject not only in theory but also in applications. This paper introduces two types of transform functions to characterize risk measures based on credibility theory. Firstly, a brief history of risk theory has been reviewed. Secondly, the concepts of transform functions and fuzzy risk measures are formally defined. Thirdly, some basic properties of the two types of fuzzy risk measures are discussed. Finally, some common examples are illustrated.
Keywords :
banking; fuzzy set theory; risk analysis; banking; credibility theory; fuzzy risk measurement; risk analysis; transform functions; Chromium; Distortion measurement; Insurance; Optimization; Portfolios; Risk analysis; Transforms; credibility theory; fuzzy risk analysis; fuzzy risk measure; fuzzy variable; transform function;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery (FSKD), 2010 Seventh International Conference on
Conference_Location :
Yantai, Shandong
Print_ISBN :
978-1-4244-5931-5
DOI :
10.1109/FSKD.2010.5569175
