东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2010, Vol. 31 ›› Issue (11): 1665-1668.DOI: -

• 论著 • 上一篇    下一篇

基于Choquet积分的综合风险测评方法

张磊;樊治平;乐琦;   

  1. 东北大学工商管理学院;
  • 收稿日期:2013-06-20 修回日期:2013-06-20 出版日期:2010-11-15 发布日期:2013-06-20
  • 通讯作者: -
  • 作者简介:-
  • 基金资助:
    国家创新研究群体科学基金;;

Assessing the integrated risk based on Choquet integral

Zhang, Lei (1); Fan, Zhi-Ping (1); Yue, Qi (1)   

  1. (1) School of Business Administration, Northeastern University, Shenyang 110004, China
  • Received:2013-06-20 Revised:2013-06-20 Online:2010-11-15 Published:2013-06-20
  • Contact: Zhang, L.
  • About author:-
  • Supported by:
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摘要： 针对多个风险之间存在关联情形的综合风险测评问题,提出了一种基于Choquet积分的风险测评方法.首先引入了Choquet积分的相关概念及其计算公式;然后,在描述风险之间存在关联情形的综合风险测评问题的基础上,给出了有关风险损失和风险发生概率以及每个风险值的计算公式,进一步地,给出了基于Choquet积分的综合风险测评计算公式.最后,通过一个实例说明了给出方法的实用性和有效性.

关键词: 风险, 风险测评, 关联, Choquet积分, 风险值

Abstract: To assess the integrated risk arising from the correlation between several risks, a risk assessment method based on Choquet integral was proposed. With the related concept and formula of Choquet integral introduced, the assessment of integrated risk involving correlated risks was described. Further, the formula of integrated risk assessment based on Choquet integral is expressed, with the feasibility and practicability of the proposed method exemplified.

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