The connection between distortion risk measures and ordered weighted averaging operators [WP]

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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.date.updated2014-10-08T11:10:33Z
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.identifier.issn2014-1254
dc.identifier.urihttps://hdl.handle.net/2445/58303
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.accessRightsinfo:eu-repo/semantics/openAccess
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

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