Value at Risk dan Tail Value at Risk dari Peubah Acak Besarnya Kerugian yang Menyebar Alpha Power Pareto

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...

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Bibliographic Details
Main Authors: Ruhiyat Ruhiyat, Berlian Setiawaty, Muwafiqo Zamzami Dhuha
Format: Article
Language:English
Published: Department of Mathematics, Universitas Negeri Gorontalo 2023-01-01
Series:Jambura Journal of Mathematics
Subjects:
alpha power pareto distribution
monte carlo simulation
tail value at risk
value at risk
Online Access:https://ejurnal.ung.ac.id/index.php/jjom/article/view/16586

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