Tail value-at-risk in uncertain random environment

Chance theory is a rational tool to be used in the systems which contain not only uncertainty but also randomness. In this paper, the concept of tail value-at-risk in uncertain random risk analysis is proposed and some theorems are provided for its calculation. Moreover, the tail value-at-risk is ap...

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Bibliographic Details
Published inSoft computing (Berlin, Germany) Vol. 24; no. 4; pp. 2495 - 2502
Main Authors Liu, Yuhan, Ralescu, Dan A., Xiao, Chen, Lio, Waichon
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer Berlin Heidelberg 01.02.2020
Springer Nature B.V
Subjects
Algebra
Artificial Intelligence
Computational Intelligence
Control
Engineering
Expected values
Focus
Mathematical Logic and Foundations
Mechatronics
Probability distribution
Random variables
Risk analysis
Risk assessment
Robotics
Theorems
Tail value-at-risk
Risk analysis
Chance theory
Uncertainty theory
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Summary:Chance theory is a rational tool to be used in the systems which contain not only uncertainty but also randomness. In this paper, the concept of tail value-at-risk in uncertain random risk analysis is proposed and some theorems are provided for its calculation. Moreover, the tail value-at-risk is applied as the right-tail in the parallel system, series system, standby system, k -out-of- n system and structural system.
ISSN:1432-7643
1433-7479
DOI:10.1007/s00500-018-3492-3