DISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE
Loss portfolio selection is one of the main issues for risk managers in insurance. A straightforward technique for deciding the preferred loss portfolio is by utilizing stochastic dominance. Stochastic dominance can employ distortion function as a preference in loss portofolio selection. This met...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/74672 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Loss portfolio selection is one of the main issues for risk managers in insurance. A
straightforward technique for deciding the preferred loss portfolio is by utilizing
stochastic dominance. Stochastic dominance can employ distortion function as
a preference in loss portofolio selection. This method is referred to as distorted
stochastic dominance. Afterwards, we construct a distortion risk measure called
Glue Value-at-Risk (GlueVaR) based on this transformation which possesses three
properties, that is, positive homogeneity, translation invariance, and monotonicity.
GlueVaR is a risk measure produced from a linier combination of Value-at-Risk (VaR)
and two Tail Value-at-Risk (TVaR). GlueVaR has the flexibility allowing us to quantify
a loss portfolio equal to either VaR or TVaR. Also, we have introduced relationships
between distorted stochastic dominance and GlueVaR in portfolio selection. |
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