考虑概率和后果相互作用的风险聚合:具有计算成本处理的一般公式
Chunbing Bao1, Meng Cai1, Jianping Li2
1School of Management, Shandong University, Jinan, Shandong, China.
Risk analysis : an official publication of the Society for Risk Analysis
|November 16, 2023
概括
本研究引入了一种新的风险聚合方法,该方法可以考虑风险事件之间的复杂相互作用. 这种方法提高了风险管理的准确性,特别是在主观评估中.
科学领域:
- 风险管理 风险管理
- 决策分析 决策分析
- 量化金融 量化金融
背景情况:
- 准确的风险聚合对于有效的风险管理至关重要.
- 现有的方法在风险事件之间的复杂相互作用中扎,限制了普遍的应用.
- 主观风险评估背景对当前的聚合技术提出了独特的挑战.
研究的目的:
- 提出一个理论上合理的风险聚合方法,包括多种相互作用类型.
- 提高决策分析风险聚合的普遍性和有效性.
- 解决当前方法的局限性,特别是在主观风险评估中.
主要方法:
- 开发各种交互类型的严格定义,测量和图形表示.
- 制定适用于客观和主观环境的通用风险聚合方法.
- 分析风险和风险集的附加性,澄清附加性的条件.
- 引入准二/三增量措施,以降低计算成本,同时保持可靠性.
主要成果:
- 拟议的方法为风险聚合与相互作用提供了一个全面的框架.
- 在客观和主观风险评估场景中提高准确性和适用性.
- 澄清了风险附加性的条件,并引入了计算效率高的近似方法.
- 通过详细的案例研究,证明了实际的实用性.
结论:
- 开发的风险聚合方法有效地整合了复杂的相互作用,提高了准确性.
- 该方法提供了一种适用于不同风险评估环境的通用解决方案.
- 准添加措施提供了一种切实可行的手段,可以在不牺牲可靠性的情况下降低计算负担.
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