Credibilistic conditional value at risk under fuzzy environment

Conditional value at risk (CVaR) is a widely used risk assessment technique. This paper proposes a new CVaR called credibilistic CVaR, which extend the tradition CVaR to fuzzy environment. The theoretical properties of credibilistic CVaR are given in this paper. Finally, trianguilar, trapezoidal and normal fuzzy variables are used to illustrate the applicability and feasibility of credibilistic CVaR.