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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id-itb.:391562019-06-24T11:06:08ZBOUND OF AGGREGATE RISK MEASURES Trimono Indonesia Theses Aggregate risk, comonotonicity, Adj-TVaR, risk forecast. ii INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/39156 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, -. text |
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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, -. |
| format |
Theses |
| author |
Trimono |
| spellingShingle |
Trimono BOUND OF AGGREGATE RISK MEASURES |
| author_facet |
Trimono |
| author_sort |
Trimono |
| title |
BOUND OF AGGREGATE RISK MEASURES |
| title_short |
BOUND OF AGGREGATE RISK MEASURES |
| title_full |
BOUND OF AGGREGATE RISK MEASURES |
| title_fullStr |
BOUND OF AGGREGATE RISK MEASURES |
| title_full_unstemmed |
BOUND OF AGGREGATE RISK MEASURES |
| title_sort |
bound of aggregate risk measures |
| url |
https://digilib.itb.ac.id/gdl/view/39156 |
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