Add to ORKGDistortion risk measures summarize the risk of a loss distribution by means of a single value. In fuzzy systems, the Ordered Weighted Averaging (OWA) and Weighted Ordered Weighted Averaging (WOWA) operators are used to aggregate a large number of fuzzy rules into a single value. We show that these concepts can be derived from the Choquet integral, and then the mathematical relationship between distortion risk measures and the OWA and WOWA operators for discrete and nite random variables is presented. This connection oers a new interpretation of distortion risk measures and, in particular, Value-at-Risk and Tail Value-at-Risk can be understood from an aggregation operator perspective. The theoretical results are illustrated in an example and...
Rather than a unitary value, individuals may represent health risk as a fuzzy entity that permits th...
The type-1 ordered weighted averaging (T1OWA) operator has demonstrated the capacity for directly ag...
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to p...
Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fu...
Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fu...
This paper addresses the risk of failure of a system for which physical-based (or empirical) models ...
Ordered weighted averaging (OWA) operators and their extensions are powerful tools used in numerous ...
The notion of risk measure arose from the problem of quantifying risk. The coherent risk measures an...
We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measur...
Artículo de publicación ISIThe ordered weighted average (OWA) is an aggregation operator that provid...
Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to ...
The file attached to this record is the author's final peer reviewed version. The Publisher's final ...
In this paper we compare the WOWA operator (an aggregation operator that generalizes both the weight...
Understanding the attitude to risk implicit within a risk measure sheds some light on the way in whi...
The aim of the article is to develop fuzzy tools for measuring risk based on adaptation of correspon...
Rather than a unitary value, individuals may represent health risk as a fuzzy entity that permits th...
The type-1 ordered weighted averaging (T1OWA) operator has demonstrated the capacity for directly ag...
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to p...
Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fu...
Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fu...
This paper addresses the risk of failure of a system for which physical-based (or empirical) models ...
Ordered weighted averaging (OWA) operators and their extensions are powerful tools used in numerous ...
The notion of risk measure arose from the problem of quantifying risk. The coherent risk measures an...
We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measur...
Artículo de publicación ISIThe ordered weighted average (OWA) is an aggregation operator that provid...
Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to ...
The file attached to this record is the author's final peer reviewed version. The Publisher's final ...
In this paper we compare the WOWA operator (an aggregation operator that generalizes both the weight...
Understanding the attitude to risk implicit within a risk measure sheds some light on the way in whi...
The aim of the article is to develop fuzzy tools for measuring risk based on adaptation of correspon...
Rather than a unitary value, individuals may represent health risk as a fuzzy entity that permits th...
The type-1 ordered weighted averaging (T1OWA) operator has demonstrated the capacity for directly ag...
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to p...