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

التفاصيل البيبلوغرافية
العنوان:	Value at Risk dan Tail Value at Risk dari Peubah Acak Besarnya Kerugian yang Menyebar Alpha Power Pareto
المؤلفون:	Ruhiyat Ruhiyat, Berlian Setiawaty, Muwafiqo Zamzami Dhuha
المصدر:	Jambura Journal of Mathematics, Vol 5, Iss 1, Pp 67-82 (2023)
بيانات النشر:	Department of Mathematics, Universitas Negeri Gorontalo, 2023.
سنة النشر:	2023
المجموعة:	LCC:Mathematics
مصطلحات موضوعية:	alpha power pareto distribution, monte carlo simulation, tail value at risk, value at risk, Mathematics, QA1-939
الوصف:	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 an alpha power Pareto distribution. This distribution is the result of alpha power transformation on a Pareto distribution. The random numbers used in the Monte Carlo simulation are generated from the alpha power Pareto distribution using the inverse transformation technique. In the special case used, the estimated VaR and TVaR values obtained from the Monte Carlo simulation for some security levels used are close to the actual VaR and TVaR values as long as the number of random numbers generated in the Monte Carlo simulation is sufficiently large.
نوع الوثيقة:	article
وصف الملف:	electronic resource
اللغة:	English Indonesian
تدمد:	2654-5616 2656-1344
Relation:	https://ejurnal.ung.ac.id/index.php/jjom/article/view/16586; https://doaj.org/toc/2654-5616; https://doaj.org/toc/2656-1344
DOI:	10.34312/jjom.v5i1.16586
URL الوصول:	https://doaj.org/article/6476be88f8cb4123886678a88dad13b4
رقم الانضمام:	edsdoj.6476be88f8cb4123886678a88dad13b4
قاعدة البيانات:	Directory of Open Access Journals

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الوصف
تدمد:	26545616 26561344
DOI:	10.34312/jjom.v5i1.16586