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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/58303
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dc.contributor.authorBelles Sampera, Jaume-
dc.contributor.authorMerigó Lindahl, José M.-
dc.contributor.authorGuillén, Montserrat-
dc.contributor.authorSantolino, Miguel-
dc.date.accessioned2014-10-08T11:10:32Z-
dc.date.available2014-10-08T11:10:32Z-
dc.date.issued2012-
dc.identifier.issn2014-1254-
dc.identifier.urihttp://hdl.handle.net/2445/58303-
dc.description.abstractDistortion 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 finite random variables is presented. This connection offers 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 the degree of orness concept is discussed.-
dc.format.extent31 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública-
dc.relation.isformatofReproducció del document publicat a: http://www.ub.edu/irea/working_papers/2012/201201.pdf-
dc.relation.ispartofIREA – Working Papers, 2012, IR12/01-
dc.relation.ispartofseries[WP E-IR12/01]-
dc.rightscc-by-nc-nd, (c) Belles Sampera et al., 2012-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceDocuments de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))-
dc.subject.classificationPresa de decisions (Estadística)-
dc.subject.classificationTeoria d'operadors-
dc.subject.classificationDirecció d'empreses-
dc.subject.classificationLògica matemàtica-
dc.subject.otherStatistical decision-
dc.subject.otherOperator theory-
dc.subject.otherIndustrial management-
dc.subject.otherMathematical logic-
dc.titleThe connection between distortion risk measures and ordered weighted averaging operators [WP]-
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2014-10-08T11:10:33Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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