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...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/15273 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
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