Bridges between Fuzzy Dominance and Credibilistic VaR Dominance

Abstract

This paper aims to introduce the new concept of credibilistic value-at-risk (VaR) dominance which provides a very useful tool for the choice under uncertainty of risk. First, the new concept of the credibilistic VaR dominance is presented based on credibility theory. Next, some properties of the proposed credibilistic VaR dominance are examined. Then the… (More)
DOI: 10.1109/FSKD.2008.4

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