Industrial Engineering and Management Systems

Korean Institute of Industrial Engineers (대한산업공학회)
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Comonotonic Uncertain Vector and Its Properties

  • Li, Shengguo (School of Mathematics and Statistics, Huazhong Normal University) ;
  • Zhang, Bo (School of Mathematics and Statistics, Huazhong Normal University) ;
  • Peng, Jin (Institute of Uncertain Systems, Huanggang Normal University)
  • Received : 2012.08.17
  • Accepted : 2013.03.06
  • Published : 2013.03.31
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Abstract

This paper proposes a new concept of comonotonicity of uncertain vector based on the uncertainty theory. In order to understand the comonotonicity of uncertain vector, some equivalent definitions are presented. Following the proposed concept, some basic properties of comonotonic uncertain vector are investigated. In addition, the operational law is given for calculating the uncertainty distributions of monotone functions of comonotonic uncertain variables. With the help of operational law, the comonotonic uncertain vector is applied to the premium pricing problems. At last, some numerical examples are given to illustrate the application.

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References

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