GLUE-VALUE-AT-RISK ON AGGREGATE LOSS SEVERITY DISTRIBUTION
A crucial tool in making future large loss predictions is the measure of risk. In real life, Value-at-Risk (VaR) and Expected Shortfall (ES) are used as risk measurements to compute losses. This study will introduce GlueVaR, a risk measure that is a linear combination of VaR and ES. The case stud...
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| Main Author: | |
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/78417 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
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