Issue: 2015/Vol.25/No.1, Pages 81-101

HYBRID CORRELATED DATA IN RISK ASSESSMENT

Bogdan Rębiasz

Full paper (PDF)    RePEC

Cite as: B. Rębiasz. Hybrid correlated data in risk assessment. Operations Research and Decisions 2015: 25(1), 81-101. DOI 10.5277/ord150105

Abstract
A method for evaluating the risks in a situation has been presented where parameters in the calculation are expressed in the form of dependent fuzzy numbers and probability distributions. The procedure of risk estimation combines stochastic simulation with the execution of arithmetic operations on interactive fuzzy numbers. In order to define operations on such numbers, non-linear programming is used. Relations between the parameters presented in the form of fuzzy numbers and probability distributions are expressed by means of interval regression. The results of computations indicate that the relations between parameters have a significant impact on the ratios characterizing risk.

Keywords: risk, interactive fuzzy numbers, random fuzzy numbers, simulation

Received:     Accepted: 21 January 2015