Value at Risk and Tail Value at Risk in Uncertain Environment
نویسنده
چکیده
Real-life decisions are usually made in the state of uncertainty or risk. In this article we present the risk measuring techniques value at risk (VaR) and tail value at risk (TVaR) under uncertainty. Firstly, we introduce the VaR concept of uncertain variable based on uncertainty theory and examine its fundamental properties. Then, the TVaR concept is evolved and some fundamental properties of the proposed TVaR are investigated. Finally, uncertain simulation algorithms are designed to calculate the VaR and TVaR. The suggested VaR or TVaR methodology can be widely used as tools of risk analysis in an uncertain environment.
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