RISK PREMIUM DETERMINATION USING WEIGHTED DISTRIBUTION APPROACH
This thesis aims to describe essential characteristics of two risk measures, such as: Conditional Tail Expectation (CTE) and Tail Standard Deviation (TSD) using weighted distribution approach. It also describes the variation of the data for values greater than the Value-at-Risk (VaR), using Tail Con...
Saved in:
| Main Author: | |
|---|---|
| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/15273 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | This thesis aims to describe essential characteristics of two risk measures, such as: Conditional Tail Expectation (CTE) and Tail Standard Deviation (TSD) using weighted distribution approach. It also describes the variation of the data for values greater than the Value-at-Risk (VaR), using Tail Conditional Variance (CTV). In this thesis, risk measures for some claim severity distributions such as Gamma, Weibull, Pareto, Single-Parameter Pareto, Lognormal and Loglogistic are described. As a case study, analysis is carried out when two data sets have the sums mean value, but different standard deviation. The determination of the risk measure of a random variable that follows a particular distribution was done analytically and/or numerically. From the analysis conducted to various claim severity distributions, formulas for determining CTE and CTV for each distribution are obtained. Using those formulas, a risk measure called Tail Standard Distribution (TSD) is calculated. |
|---|