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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id-itb.:746722023-07-20T16:08:27ZDISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE Yovinza, Michael Indonesia Theses distorted stochastic dominance, GlueVaR, portfolio selection. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/74672 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. text |
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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. |
| format |
Theses |
| author |
Yovinza, Michael |
| spellingShingle |
Yovinza, Michael DISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE |
| author_facet |
Yovinza, Michael |
| author_sort |
Yovinza, Michael |
| title |
DISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE |
| title_short |
DISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE |
| title_full |
DISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE |
| title_fullStr |
DISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE |
| title_full_unstemmed |
DISTORTED STOCHASTIC DOMINANCE FOR TWO LOSS PORTFOLIOS BY GLUEVAR RISK MEASURE |
| title_sort |
distorted stochastic dominance for two loss portfolios by gluevar risk measure |
| url |
https://digilib.itb.ac.id/gdl/view/74672 |
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