BOUND OF AGGREGATE RISK MEASURES
In finance and insurance industries, risk may come from several sources. Therefore, the concept of aggregate risk can be used to forecast the risk value that might occur. Risk value forecast can be measured by several risk measurements such as Value at Risk (VaR), Tail VaR (TVaR), and Adjusted TV...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/39156 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | In finance and insurance industries, risk may come from several sources. Therefore,
the concept of aggregate risk can be used to forecast the risk value that might occur.
Risk value forecast can be measured by several risk measurements such as Value at
Risk (VaR), Tail VaR (TVaR), and Adjusted TVaR (Adj-TVaR) as a modification of
TVaR. In this thesis, upper bound of these risk measurements specifically will be
studied by using comonotonic features and convex order properties. The aggregate
risk which will be observed is the risk of hospitalization costs for dengue fever
patients at Hasan Sadikin Bandung Hospital in 2017, which consists of the infusion
cost and health care. At a confidence level of 99% the risk measurements of Adj-
TVaR is more efficient in predicting the maximum hospitalization costs to be borne,
which is Rp. 4,352,276, -. |
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