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Characterization of a coherent fuzzy risk measure

Author

Listed:
  • Christian Deffo Tassak

    (UY1 - Université de Yaoundé I)

  • Jules Sadefo Kamdem

    (MRE - Montpellier Recherche en Economie - UM - Université de Montpellier)

  • Louis Aime Fono

    (Université de Douala)

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.

Suggested Citation

  • Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aime Fono, 2025. "Characterization of a coherent fuzzy risk measure," Working Papers hal-04977442, HAL.
    • Handle: RePEc:hal:wpaper:hal-04977442
    Note: View the original document on HAL open archive server: https://hal.science/hal-04977442v1
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