Characterization of a coherent fuzzy risk measure

Christian Tassak (dtassak@yahoo.com), Jules Sadefo Kamdem (jules.sadefo-kamdem@umontpellier.fr) and Louis Fono
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Christian Tassak: UY1 - Université de Yaoundé I
Jules Sadefo Kamdem: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Louis Fono: Université de Douala

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Abstract: This paper provides new mathematical tools to describe and quantify fuzzy risk in some economic context mainly impacted by fuzzy random phenomena. More precisely, the concept of fuzzy risk measure is defined and characterized in order to deal with randomness and impreciseness in some economic areas. Furthermore, we implement the fuzzy risk measure to solve risk capital allocation problems by considering the α-consensus value introduced and characterized by Nan et al.[20] as the solution concept.

Keywords: Fuzzy random variable; Fuzzy risk; Capital allocation problems; Solution concept (search for similar items in EconPapers)
Date: 2025-02-15
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