Distortion Risk Measures of Uncertain Systems

摘要：

Decision making in real world is usually under uncertainty and subject to various risks. In this paper we present the distortion risk measure of an uncertain system. First, we introduce the concept of distortion risk measure and harmonious measure of risk based on uncertainty theory. Then, some fundamental properties of the proposed distortion risk measure are investigated. It is proved that the proposed distortion measure of risk is a harmonious measure of risk. Finally, some numerical examples are illustrated.

关键词： risk analysis uncertainty theory uncertain system distortion risk measure distortion functions harmonious measure of risk

作者: Jin Peng Shengguo Li

作者单位: Institute of Uncertain Systems Huanggang Normal University Hubei 438000, China College of Mathematics & Computer Science Huanggang Normal University Hubei 438000, China

会议类型: 国际会议

会议名称: 2011 9th International Conference on Reliability,Maintainability and Safety(第九届国际可靠性、维修性、安全性会议 ICRMS2011)

会议地点: 贵阳

会议语种:英文

页码: 460-467

在线出版日期: 2011-06-12（万方平台首次上网日期，不代表论文的发表时间）