2026-04-13T05:02:40Zhttps://recercat.cat/oai/requestoai:recercat.cat:2445/1272642025-12-05T05:53:23Zcom_2072_1057col_2072_478808col_2072_478917
RECERCAT
author
Belles Sampera, Jaume
author
Merigó Lindahl, José M.
author
Guillén, Montserrat
author
Santolino, Miguel
2019-01-15T11:39:17Z2019-01-15T11:39:17Z2013-032019-01-15T11:39:17Z
Distortion 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.
(c) Elsevier B.V., 2013 info:eu-repo/semantics/openAccess
Presa de decisions (Estadística)
Teoria d'operadors
Direcció d'empreses
Lògica matemàtica
Statistical decision
Operator theory
Industrial management
Mathematical logic
The connection between distortion risk measures and ordered weighted averaging operators
info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion