RISK MEASURE OF DEPENDENT TAIL VALUE-AT-RISK FOR AGGREGATE RISK MODEL AND ITS APPLICATION
In actuarial science, the aggregate risk model plays an important role. In general, the aggregate risk model can be viewed as a collective risk model where the claim severities and the number of claims are not always independent of each other. This means that the individual risk model is a specif...
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| Format: | Dissertations |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/62151 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |