Average Value at Risk in Fuzzy Risk Analysis

The average value at risk (AVaR) is a risk measure which is a superior alternative to value at risk (VaR). In this paper, we present the average value at risk method for fuzzy risk analysis. Firstly, we put forward the new concept of the average value at risk based on credibility theory. Next, we examine some properties of the proposed average value at risk. Then, a kind of fuzzy simulation algorithm is given to calculate the average value at risk. Finally, numerical example is provided. The proposed average value at risk can be applied in many real problems of fuzzy risk analysis.

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