How to Estimate Expected Shortfall When Probabilities Are Known with Interval or Fuzzy Uncertainty

Authors

Christian Servin, El Paso Community CollegeFollow
Hung T. Nguyen, New Mexico State University - Main CampusFollow
Vladik Kreinovich, The University of Texas at El PasoFollow

Publication Date

4-2015

Comments

Technical Report: UTEP-CS-15-19a

To appear in Proceedings of the IEEE International Conference on Fuzzy Systems FUZZ-IEEE'2015, Istanbul, Turkey, August 1-5, 2015.

Abstract

To gauge the risk corresponding to a possible disaster, it is important to know both the probability of this disaster and the expected damage caused by such potential disaster ("expected shortfall"). Both these measures of risk are easy to estimate in the ideal case, when we know the exact probabilities of different disaster strengths. In practice, however, we usually only have a partial information about these probabilities: we may have an interval (or, more generally, fuzzy) uncertainty about these probabilities. In this paper, we show how to efficiently estimate the expected shortfall under such interval and/or fuzzy uncertainty.