Value at Risk dan Tail Value at Risk dari Peubah Acak Besarnya Kerugian yang Menyebar Alpha Power Pareto
Value at Risk (VaR) and Tail Value at Risk (TVaR) are two measures that are commonly used to quantify the risk associated with a loss severity distribution. In this paper, both values are calculated analytically and estimated using a Monte Carlo simulation when the loss severity random variable has...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Department of Mathematics, Universitas Negeri Gorontalo
2023-01-01
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| Series: | Jambura Journal of Mathematics |
| Subjects: | |
| Online Access: | https://ejurnal.ung.ac.id/index.php/jjom/article/view/16586 |