A Novel Risk Measure Model in Uncertain Theory

Uncertainty theory is a new branch of axiomatic mathematics for studying the subjective uncertainty. In uncertain theory, uncertain variable is a fundamental concept, which is used to represent imprecise quantities (unknown constants and unsharp concepts). Entropy of uncertain variable is an important concept in calculating uncertainty associated with imprecise quantities. This paper introduces a novel risk measure model in uncertain theory, and proves its several important theorems. The novel risk measure model reflects the risks originate from the state uncertainty. At the same time, it not only reflects the decision-makers subjective attitude to risk, but also can better measure the present complex financial risk.