Distortion Risk Measure And Its Applications Based On Uncertainty

Traditional risk analysis is studied for the foundation with probabilitytheory random environment risk. But in real life risk the possibility of loss isoften, uncertainty, this is an uncertain environmental risk. Therefore, tosolve the uncertain environment risk analysis problems, will put forward tomeasure the risk of damage to the new measurement method.In view of the above questions, this article will not determine the valueat risk measure and uncertain condition value at risk measure is introducedinto the risk model, based on the uncertainty measurement theory and theestablishment of uncertain programming model approach to risk model forsolving. Proposed uncertainty distortion risk measure concept, provendistortion risk measure some important theorems. By selecting the distortionfunction that is suitable for different types of decision makers of uncertainrisk measure, and gives uncertain risk measurement based on improved meanvariance risk model. Preparation of intelligent algorithm to solve theimproved risk optimal solution of the model, finally through a numericalexample to verify the model and method.