通过模糊数字进行风险规避

IF 2.6 3区数学 Q1 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Journal of Systems Science & Complexity Pub Date : 2008-11-08 DOI:10.1109/CANS.2008.27

I. Georgescu

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引用次数: 0

摘要

本文用可能性理论研究风险规避的方法。我们引入和研究新的可能性风险指标。主要概念是与模糊数和效用函数相关的可能性风险溢价和可能性相对风险溢价。我们也给出了计算它们的公式。他们将风险溢价和相对风险溢价的经典概念扩展到可能性理论中。通过实例说明了如何利用梯形模糊数计算主要可能性风险指标。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Risk Aversion through Fuzzy Numbers

This paper is concerned with an approach of risk aversion by possibility theory. We introduce and study new possibilistic risk indicators. The main notions are the possibilistic risk premium and the possibilistic relative risk premium associated with a fuzzy number and a utility function. We also give formulae for computing them. They extend to possibility theory the classic notions of risk premium and relative risk premium. We show by an example how the main possibilistic risk indicators are computed using trapezoidal fuzzy numbers.

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来源期刊

Journal of Systems Science & Complexity 数学-数学跨学科应用

CiteScore

3.80

自引率

9.50%

发文量

审稿时长

6-12 weeks

期刊介绍： The Journal of Systems Science and Complexity is dedicated to publishing high quality papers on mathematical theories, methodologies, and applications of systems science and complexity science. It encourages fundamental research into complex systems and complexity and fosters cross-disciplinary approaches to elucidate the common mathematical methods that arise in natural, artificial, and social systems. Topics covered are: complex systems, systems control, operations research for complex systems, economic and financial systems analysis, statistics and data science, computer mathematics, systems security, coding theory and crypto-systems, other topics related to systems science.