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Journal : InPrime: Indonesian Journal Of Pure And Applied Mathematics

Aggregate Risk Model and Risk Measure-Based Risk Allocation Khreshna Syuhada
InPrime: Indonesian Journal of Pure and Applied Mathematics Vol 2, No 1 (2020)
Publisher : Department of Mathematics, Faculty of Sciences and Technology, UIN Syarif Hidayatullah

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (2675.61 KB) | DOI: 10.15408/inprime.v2i1.14494

Abstract

AbstractIn actuarial modeling, aggregate risk is known as more attractive rather than individual risk. It has, however, usual difficulty in finding (the exact form of) joint probability distribution. This paper considers aggregate risk model and employ translated gamma approximation to handle such distribution function formulation. In addition, we deal with the problem of risk allocation in such model. We compute in particular risk allocation based on risk measure forecasts of Value-at-Risk (VaR) and its extensions: improved VaR and Tail VaR. Risk allocation shows the contribution of each individual risk to the aggregate. It has a constraint that the risk measure of aggregate risk is equal to the aggregate of risk measure of individual risk.Keywords: allocation methods; tail-value-at-risk; translated gamma approximation. AbstrakRisiko agregat merupakan kajian yang lebih menarik dalam pemodelan aktuaria, dibandingkan dengan risiko individu. Namun fungsi distribusi risiko agregat sulit ditentukan bentuk eksaknya. Artikel ini membahas mengenai model risiko agregat dan menggunakan metode aproksimasi Translasi Gamma untuk menentukan fungsi distribusi risiko agregat. Berdasarkan fungsi distribusi tersebut, dapat diprediksi alokasi risiko agregat. Metode alokasi risiko agregat diterapkan pada ukuran risiko Value-at-Risk (VaR) dan pengembangannya: improved VaR dan Tail-VaR. Alokasi risiko menyatakan nilai kontribusi setiap risiko individu terhadap ukuran risiko agregat. Jumlahan atau agregat dari setiap alokasi risiko individu sama dengan ukuran risiko agregat.Kata kunci: aproksimasi Translasi Gamma; alokasi risiko; Tail-Value-at-Risk.
Bounds of Adj-TVaR Prediction for Aggregate Risk Khreshna Syuhada
InPrime: Indonesian Journal of Pure and Applied Mathematics Vol 1, No 1 (2019)
Publisher : Department of Mathematics, Faculty of Sciences and Technology, UIN Syarif Hidayatullah

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (2527.467 KB) | DOI: 10.15408/inprime.v1i1.12788

Abstract

In financial and insurance industries, risks may come from several sources. It is therefore important to predict future risk by using the concept of aggregate risk. Risk measure prediction plays important role in allocating capital as well as in controlling (and avoiding) worse risk. In this paper, we consider several risk measures such as Value-at-Risk (VaR), Tail VaR (TVaR) and its extension namely Adjusted TVaR (Adj-TVaR). Specifically, we perform an upper bound for such risk measure applied for aggregate risk models. The concept and property of comonotonicity and convex order are utilized to obtain such upper bound.Keywords:        Coherent property, comonotonic rv, convex order, tail property, Value-at-Risk (VaR).