The Modeling of Interval-Valued Time Series Using Possibility Measure-Based Encoding-Decoding Mechanism

Interval-valued time series (ITS) is a collection of interval-valued data whose entires are ordered by time. The modeling of ITS is an ongoing issue pursued by many researchers. There are diverse ITS models showing better performance. This paper proposes a new ITS model using possibility measure-based encoding-decoding mechanism involved in fuzzy theory. The proposed model consists of four modules, say, linguistic variable generation module, encoding module, inference module and decoding module. The linguistic variable generation module can provide a series of linguistic variables expressed in fuzzy sets used to described dynamic characteristics of ITS. The encoding module encodes ITS into some embedding vectors with semantics with the aid of possibility measure and linguistic variables formed by linguistic variable generation module. The inference module uses artificial neural network to capture relationship implied in those embedding vectors with semantic. The decoding module decodes for the outputs of the inference module to produce the output of linguistic and interval formats by using the possibility measure-based encoding-decoding mechanism. In comparison with existing ITS models, the proposed model can not only produce the output of linguistic format, but also exhibit better numeric performance.

Fuzzy Markovian Bonus-Malus Systems in Non-Life Insurance

Markov chains (MCs) are widely used to model a great deal of financial and actuarial problems. Likewise, they are also used in many other fields ranging from economics, management, agricultural sciences, engineering or informatics to medicine. This paper focuses on the use of MCs for the design of non-life bonus-malus systems (BMSs). It proposes quantifying the uncertainty of transition probabilities in BMSs by using fuzzy numbers (FNs). To do so, Fuzzy MCs (FMCs) as defined by Buckley and Eslami in 2002 are used, thus giving rise to the concept of Fuzzy BMSs (FBMSs). More concretely, we describe in detail the common BMS where the number of claims follows a Poisson distribution under the hypothesis that its characteristic parameter is not a real but a triangular FN (TFN). Moreover, we reflect on how to fit that parameter by using several fuzzy data analysis tools and discuss the goodness of triangular approximates to fuzzy transition probabilities, the fuzzy stationary state, and the fuzzy mean asymptotic premium. The use of FMCs in a BMS allows obtaining not only point estimates of all these variables, but also a structured set of their possible values whose reliability is given by means of a possibility measure. Although our analysis is circumscribed to non-life insurance, all of its findings can easily be extended to any of the abovementioned fields with slight modifications.

Possibilistic response surfaces combining fuzzy targets and hydro-climatic uncertainty in flood vulnerability assessment

Several alternatives have been proposed to shift the paradigms of water management under uncertainty from predictive to decision-centric. An often mentioned tool is the stress-test response surface; mapping system performance to a large sample of future hydro-climatic conditions. Dividing this exposure space between success and failure requires clear performance targets. In practice, however, stakeholders and decision-makers may be confronted with ambiguous objectives for which there are no clearly-defined (crisp) performance thresholds. Furthermore, response surfaces can be non-deterministic, as they do not fully capture all possible sources of hydro-climatic uncertainty. The challenge is thus to combine two different types of uncertainty: the irreducible uncertainty of the response itself relative to the variables that describe change, and the fuzziness of the performance target. We propose possibilistic surfaces to assess flood vulnerability with fuzzy performance thresholds. Three approaches are tested and compared on a un-gridded sample of the exposure space: (i) an aggregation of logistic regressions based on α-cuts combines the uncertainty of the response itself and the ambiguity of the target within a single possibility measure; (ii) an alternative approximates the response with a fuzzy analytical surface; and (iii) a convex delineation expresses the largest range of failure specific to a given management rule without probabilistic assumptions. To illustrate the proposed approaches, we use the flood-prone reservoir system of the Upper Saint-François River Basin in Canada as a case study. This study shows that ambiguity can be effectively be considered when generating a response surface and suggests how further research could build a possibilistic framework for hydro-climatic uncertainty.

Possibility Measure of Accepting Statistical Hypothesis

Taking advantage of the possibility of fuzzy test statistic falling in the rejection region, a statistical hypothesis testing approach for fuzzy data is proposed in this study. In contrast to classical statistical testing, which yields a binary decision to reject or to accept a null hypothesis, the proposed approach is to determine the possibility of accepting a null hypothesis (or alternative hypothesis). When data are crisp, the proposed approach reduces to the classical hypothesis testing approach.

Extreme Points of the Core of Possibility Measures and Maxitive p-Boxes

Under an epistemic interpretation, an upper probability can be regarded as equivalent to the set of probability measures it dominates, sometimes referred to as its core. In this paper, we study the properties of the number of extreme points of the core of a possibility measure, and investigate in detail those associated with (uni- and bi-)variate p-boxes, that model the imprecise information about a cumulative distribution function.