当概率已知且具有区间不确定性或模糊不确定性时,如何估计预期缺口

C. Servin, H. Nguyen, V. Kreinovich
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引用次数: 1

摘要

要衡量与可能发生的灾难相对应的风险,重要的是要知道这种灾难发生的概率和这种潜在灾难造成的预期损害(“预期损失”)。在理想情况下,当我们知道不同灾害强度的确切概率时,这两种风险度量都很容易估计。然而,在实践中,我们通常只有关于这些概率的部分信息:我们可能对这些概率有一个区间(或者更一般地说,模糊)的不确定性。在本文中,我们展示了如何在这种区间和/或模糊不确定性下有效地估计期望缺口。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
How to estimate expected shortfall when probabilities are known with interval or fuzzy uncertainty
To gauge the risk corresponding to a possible disaster, it is important to know both the probability of this disaster and the expected damage caused by such potential disaster (“expected shortfall”). Both these measures of risk are easy to estimate in the ideal case, when we know the exact probabilities of different disaster strengths. In practice, however, we usually only have a partial information about these probabilities: we may have an interval (or, more generally, fuzzy) uncertainty about these probabilities. In this paper, we show how to efficiently estimate the expected shortfall under such interval and/or fuzzy uncertainty.
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