• 论文 •

### 基于权值的双层多损失条件风险值模型

1. 浙江工业大学经贸管理学院,杭州 310023
• 收稿日期:2012-08-02 出版日期:2013-10-25 发布日期:2014-01-06

JIANG Min. BILEVEL MULTI-LOSS CONDITIONAL VALUE-AT-RISK MODEL BASED ON THE WEIGHTS[J]. Journal of Systems Science and Mathematical Sciences, 2013, 33(10): 1178-1188.

### BILEVEL MULTI-LOSS CONDITIONAL VALUE-AT-RISK MODEL BASED ON THE WEIGHTS

JIANG Min

• Received:2012-08-02 Online:2013-10-25 Published:2014-01-06

The conditional value-at-risk model is an important tool in risk man-agement. This paper studies a multi-loss conditional value-at-risk model with upper
and lower decision-making. We introduce the concept of -VaR loss value (minimumvalue at risk) and -CVaR loss value (minimum risk value  orresponding to the loss of value of the conditional expectation or conditional value at risk measure) of a multi-loss function based on the weights. We propose a bilevel multi-loss conditional value-at-risk model based on the weights. The objective is to find out an optimal solution to the model of upper level and lower level value of multi-loss -the CVaR’s based on the weights. We show that it can be solved more easily through another bilevel programming model to obtain the optimal solution. Finally, we give a bilevel conditional value-at-risk model, including pricing and ordering of a supply chain to manufacturers ad retailers on a product model calculated the minimum wholesale price of oversupply and shortage of risk minimization under the  manufacturer and retailers excellent order amount.

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