Aggregation of Risk Level Assessments Based on Fuzzy Equivalence Relation
The paper deals with the problem of aggregation of risk level assessments. We describe the technique of a risk level evaluation taking into account values of the risk level obtained for objects which are in some sense equivalent. For this purpose we propose to use the construction of a general aggregation operator based on the corresponding fuzzy equivalence relation. Numerical example of the investment risk level aggregation using an equivalence relation obtained on the basis of different macroeconomic factors for countries of one region is considered.
KeywordsAggregation operator General aggregation operator Fuzzy equivalence relation Risk level assessment
- 1.Risk aggregation and diversification, Research paper, Committee on Risk Management and Capital Requirements (2016)Google Scholar
- 4.Orlovs, P., Asmuss, S.: Upper and lower generalized factoraggregations based on fuzzy equivalence relation. In: Proceedings of the 2014 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE), pp. 1772–1777 (2014)Google Scholar
- 9.Pezier, J.: Application-based financial risk aggregation methods. ISMA Center Discussion Papers 2003–11, pp. 1–16 (2003)Google Scholar
- 10.Detyniecki, M.: Fundamentals on Aggregation Operators, Berkeley (2001)Google Scholar