By means of fuzzy set theory as well as Takagi-Sugeno and Mamdani fuzzy controller, this paper presents the investigation of a Resort Management System implemented by a combination of a T-S model and a Mamdani model. It demonstrates the procedure of the specific premise parameters identification and consequence parameters identification performed by regression knowledge in the T-S model, and the process of the fuzzification, the rule base creation and the defuzzification with COG technique in the Mamdani model. Therefore, an aggregation between T-S controller and Mamdani controller applied in the field of management by a novel angle is illustrated, which, as a result, devotes an improved management system that shares great convenience in the control process when combined with mathematics. Moreover, a modification of the conventional Takagi-Sugeno and Mamdani controller is demonstrated in conjunction with fuzzy operations t-norms and OWA by adjusting the -value, which is used in the calculation of final outputs in the T-S model and the computation of rule consequences in the Mamdani model. The algebraic intersection, bounded intersection as well as the -parameter t-norm are the t-norms which are going to be introduced. Besides, we have tested that t-norms generate the same alpha values when the membership degrees meet the boundary with the value of 1 or 0 while OWA can still yield a well-balanced result different from the one computing by minimum operation. Nevertheless both t-norms and OWA are able to shift the alpha-value in a well-adjusted way when the membership degrees lie in the interval [0,1]. A tendency has been shown that alpha-value tends to decrease by means of t-norms and OWA operations and consequently, the final outputs appear to be reduced.

Orientador: Laécio Carvalho de Barros / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Matemática, Estatística e Computação Científica / Made available in DSpace on 2018-08-19T12:45:04Z (GMT). No. of bitstreams: 1 Cabral_ValtemirMartins_D.pdf: 2169233 bytes, checksum: c4051eaa1a73354d7ada77be53b8fd51 (MD5) Previous issue date: 2011 / Resumo: Neste trabalho estudamos as equações diferenciais fuzzy (EDF) que possuem coeficientes e/ou condições iniciais incertas e modeladas por conjuntos fuzzy interativos. São estudadas duas formas de interatividade: via t-normas e pelo conceito de números fuzzy completamente correlacionados. As EDF são tratadas de duas formas distintas: Via inclusão diferencial e via princípio de extensão. Provamos que os conjuntos atingíveis através da família de inclusões diferenciais coincidem com as soluções estendidas, via extensão do sistema determinístico associado. Quando a interatividade é definida a partir das t-normas básicas, são gerados 4 problemas de valor inicial com parâmetro fuzzy. Para estes problemas, mostramos que os diâmetros das soluções satisfazem uma relação de inclusão. Quando a interatividade é dada por conjuntos fuzzy completamente correlacionados verificamos que a solução da EDF associada possui diâmetro contido na solução da EDF com parâmetros não interativos. Além disso, mostramos que neste ambiente o Teorema de Nguyen permanece válido. Propomos um modelo SI com parâmetros completamente correlacionados e um modelo para a dinâmica HIV com retardo e taxa de mortalidade do vírus completamente correlacionados. Para o modelo HIV apresentamos uma solução fuzzy e a comparamos com solução obtida por Jafelice et al [36] na qual os parâmetros da equação diferencial fuzzy são não interativos / Abstract: In this work we study the fuzzy differential equations (EDF) that have coefficients and/or initial conditions uncertain and modeled by interactive fuzzy sets. Are studied two forms of interactivity: via t-norms and the concept of completely correlated fuzzy numbers. The EDF are treated of two different forms: Via differential inclusion and extension principle. We prove that the sets attainable through the family of differential inclusions coincide with the extended solutions, via extension of the associated deterministic system. When the interactivity is defined from the basic 4 t- norm, are generated 4 initial value problems with fuzzy parameters. For these problems, we show that the diameters of the solutions satisfy a relation of inclusion. When the interactivity is given by completely correlated fuzzy sets, we verified the solution of the EDF associated have diameters contained in the solution of the EDF with noninteractive parameters. Furthermore we show that this environment the Nguyen's Theorem remain valid. We propose a model SI with completely correlated parameters and a model for HIV dynamics with delay and mortality rate of the virus completely correlated. For the HIV we present a fuzzy solution and we compared it with the solution obtained by Jafelice et al [36] in which the parameters of fuzzy differential equation are not interactive / Doutorado / Matematica Aplicada / Doutor em Matemática Aplicada

Le premier volet de cette thèse traite de l’évaluation du risque de crédit. Après un chapitre introductif offrant une synthèse technique des modèles de risque, nous nous intéressons à la modélisation de la dépendance entre les risques de défaut par les copules qui permettent de mieux fonder les mesures du risque de crédit. Ces dernières assurent une description intégrale de la structure de dépendance et ont l’avantage d’exprimer la distribution jointe en termes des distributions marginales. Nous les appréhendons en termes probabilistes telles qu’elles sont désormais familières, mais également selon des perspectives algébriques, démarche à certains égards plus englobante que l’approche probabiliste. Ensuite, nous proposons un modèle général de pricing des dérivés de crédit inspiré des travaux de Cherubini et Luciano (2003) et de Luciano (2003). Nous évaluons un Credit Default Swap « vulnérable », comprenant un risque de contrepartie. Nous y intégrons la Credit Valuation Adjustment (CVA)préconisée par Bâle III pour optimiser l’allocation du capital économique. Nous reprenons la représentation générale de pricing établie par Sorensen et Bollier (1994) et contrairement aux travaux cités ci-dessus, le paiement de protection ne survient pas forcément à l’échéance du contrat. La dépendance entre le risque de contrepartie et celui de l’entité de référence est approchée par les copules. Nous examinons la vulnérabilité du CDS pour des cas de dépendance extrêmes grâce à un choix de copule mixte combinant des copules usuelles « extrêmes ». En variant le rho de Spearman, la copule mixte balaie un large spectre de dépendances, tout en assurant des closed form prices. Le modèle qui en résulte est adapté aux pratiques du marché et facile à calibrer.Nous en fournissons une application numérique. Nous mettons ensuite en évidence le rôle des dérivés de crédit en tant qu’instruments de couvertures mais aussi comme facteurs de risque, accusés d’être à l’origine de la crise des subprime. Enfin, nous analysons cette dernière ainsi que celle des dettes souveraines, héritant également de l’effondrement du marché immobilier américain. Nous proposons à la suite une étude de soutenabilité de la dette publique des pays périphériques surendettés de la zone euro à l’horizon 2016. / The first part of this thesis deals with the valuation of credit risk. After an introductory chapter providing a technical synthesis of risk models, we model the dependence between default risks with the copula that helps enhancing credit risk measures. This technical tool provides a full description of the dependence structure; one could exploit the possibility of writing any joint distribution function as a copula, taking as arguments the marginal distributions. We approach copulas in probabilistic terms as they are familiar nowadays, then with an algebraic approach which is more inclusive than the probabilistic one. Afterwards, we present a general credit derivative pricing model based on Cherubini and Luciano (2003) and Luciano (2003). We price a “vulnerable”Credit Default Swap, taking into account a counterparty risk. We consider theCredit Valuation Adjustment (CVA) advocated by Basel III to optimize theeconomic capital allocation. We recover the general representation of aproduct with counterparty risk which goes back to Sorensen and Bollier (1994)and differently from the papers mentioned above, the payment of protectiondoes not occur necessarily at the end of the contract. We approach the dependence between counterparty risk and the reference credit’s one with the copula. We study the sensitivity of the CDS in extreme dependence cases with a mixture copula defined in terms of the “extreme” ones. By varying the Spearman’s rho, one can explore the whole range of positive and negative association. Furthermore, the mixture copula provides closed form prices. Our model is then closer to the market practice and easy to implement. Later on, we provide an application on credit market data. Then, we highlight the role of credit derivatives as hedging instruments and as risk factors as well since they are accused to be responsible for the subprime crisis. Finally, we analyze the subprime crisis and the sovereign debt crisis which arose from the U.S. mortgage market collapse as well. We then study the public debt sustainability of the heavily indebted peripheral countries of the eurozone by 2016.