{"id":"https://openalex.org/W4389301350","doi":"https://doi.org/10.1142/s1752890923500137","title":"A New Coherent Risk Measure of Entropic Value at Risk for Uncertain Systems","display_name":"A New Coherent Risk Measure of Entropic Value at Risk for Uncertain Systems","publication_year":2023,"publication_date":"2023-12-04","ids":{"openalex":"https://openalex.org/W4389301350","doi":"https://doi.org/10.1142/s1752890923500137"},"language":"en","primary_location":{"id":"doi:10.1142/s1752890923500137","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s1752890923500137","pdf_url":null,"source":{"id":"https://openalex.org/S4210199942","display_name":"Journal of Uncertain Systems","issn_l":"1752-8909","issn":["1752-8909","1752-8917"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Uncertain Systems","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014797173","display_name":"Lifen Jia","orcid":"https://orcid.org/0000-0003-3537-6254"},"institutions":[{"id":"https://openalex.org/I90259746","display_name":"Capital University of Economics and Business","ror":"https://ror.org/01r5sf951","country_code":"CN","type":"education","lineage":["https://openalex.org/I90259746"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Lifen Jia","raw_affiliation_strings":["School of Management and Engineering, Capital University of Economics and Business, Beijing 100070, P. R. China"],"raw_orcid":"https://orcid.org/0000-0003-3537-6254","affiliations":[{"raw_affiliation_string":"School of Management and Engineering, Capital University of Economics and Business, Beijing 100070, P. R. China","institution_ids":["https://openalex.org/I90259746"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5014797173"],"corresponding_institution_ids":["https://openalex.org/I90259746"],"apc_list":null,"apc_paid":null,"fwci":0.4796,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.69957651,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":98},"biblio":{"volume":"17","issue":"01","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9405999779701233,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9405999779701233,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.7339016795158386},{"id":"https://openalex.org/keywords/coherent-risk-measure","display_name":"Coherent risk measure","score":0.6311947703361511},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.570761501789093},{"id":"https://openalex.org/keywords/dynamic-risk-measure","display_name":"Dynamic risk measure","score":0.41106054186820984},{"id":"https://openalex.org/keywords/risk-analysis","display_name":"Risk analysis (engineering)","score":0.40492743253707886},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3506219983100891},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3452717065811157},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.3270973265171051},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.3128581643104553},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.26147475838661194},{"id":"https://openalex.org/keywords/medicine","display_name":"Medicine","score":0.2223188579082489},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.18648436665534973},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.1699891984462738}],"concepts":[{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.7339016795158386},{"id":"https://openalex.org/C148845407","wikidata":"https://www.wikidata.org/wiki/Q5141358","display_name":"Coherent risk measure","level":4,"score":0.6311947703361511},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.570761501789093},{"id":"https://openalex.org/C167548438","wikidata":"https://www.wikidata.org/wiki/Q5319012","display_name":"Dynamic risk measure","level":4,"score":0.41106054186820984},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.40492743253707886},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3506219983100891},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3452717065811157},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.3270973265171051},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3128581643104553},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.26147475838661194},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.2223188579082489},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.18648436665534973},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.1699891984462738},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1142/s1752890923500137","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s1752890923500137","pdf_url":null,"source":{"id":"https://openalex.org/S4210199942","display_name":"Journal of Uncertain Systems","issn_l":"1752-8909","issn":["1752-8909","1752-8917"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Uncertain Systems","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Climate action","id":"https://metadata.un.org/sdg/13","score":0.5400000214576721}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1505119482","https://openalex.org/W1555974209","https://openalex.org/W1647779468","https://openalex.org/W2019291268","https://openalex.org/W2022323888","https://openalex.org/W2031355801","https://openalex.org/W2091403477","https://openalex.org/W2153238567","https://openalex.org/W2164919501","https://openalex.org/W2171682970","https://openalex.org/W2483574140","https://openalex.org/W2484638022","https://openalex.org/W2515877265","https://openalex.org/W2523879549","https://openalex.org/W2598635068","https://openalex.org/W3124407081","https://openalex.org/W3140882500","https://openalex.org/W3186926159","https://openalex.org/W4206830167","https://openalex.org/W4234521054","https://openalex.org/W4236577982","https://openalex.org/W4236670843","https://openalex.org/W4309010661","https://openalex.org/W4313396077","https://openalex.org/W4313396145"],"related_works":["https://openalex.org/W4301377905","https://openalex.org/W4293714866","https://openalex.org/W2408851247","https://openalex.org/W1543674353","https://openalex.org/W2288150746","https://openalex.org/W2950198523","https://openalex.org/W3122839946","https://openalex.org/W1999282148","https://openalex.org/W1982899954","https://openalex.org/W1997792992"],"abstract_inverted_index":{"Uncertain":[0],"risk":[1,16,22,28,81],"analysis":[2],"was":[3],"initially":[4],"explored":[5],"by":[6],"Liu,":[7],"who":[8],"introduced":[9],"the":[10,49,60,72,88,99,105],"concepts":[11,50],"of":[12,51,62,74,107,128],"loss":[13,34,64],"function":[14],"and":[15,35,53,57,118,131],"index":[17],"within":[18,42],"uncertainty":[19],"theory.":[20,44],"Various":[21],"measures,":[23],"such":[24],"as":[25,76,87],"value":[26],"at":[27],"(VaR),":[29],"tail":[30],"VaR":[31,37,52],"(TVaR),":[32],"expected":[33,63],"entropic":[36],"(EVaR),":[38],"have":[39],"been":[40],"proposed":[41],"probability":[43],"To":[45],"date,":[46],"Peng":[47],"extended":[48,59],"TVaR,":[54],"while":[55],"Liu":[56],"Ralescu":[58],"notion":[61],"for":[65,98],"uncertain":[66,79,110,134],"systems.":[67],"This":[68],"paper":[69,124],"mainly":[70],"extends":[71],"concept":[73],"EVaR":[75,108,132],"a":[77,126],"novel":[78],"coherent":[80],"measure.":[82,135],"It":[83],"will":[84,138],"be":[85,139],"demonstrated":[86],"tightest":[89],"upper":[90],"bound":[91],"one":[92],"can":[93],"find":[94],"using":[95],"Chernoff":[96],"inequality":[97],"VaR.":[100],"In":[101],"addition,":[102],"we":[103],"verify":[104],"properties":[106],"under":[109,120,133],"measure,":[111],"including":[112],"positive":[113],"homogeneity,":[114],"translation":[115],"invariance,":[116],"monotonicity":[117],"subadditivity":[119],"independence.":[121],"Furthermore,":[122],"this":[123,143],"provides":[125],"comparison":[127],"VaR,":[129],"TVaR":[130],"Two":[136],"examples":[137],"given":[140],"to":[141],"illustrate":[142],"comparison.":[144]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
