Article Per Year (5 Year)
p-Index From 2021 - 2026
0.408
P-Index
This Author published in this journals
All Journal MILANG Journal of Mathematics and Its Applications Indonesian Actuarial Journal
Hakim, Adhan Haidar
Unknown Affiliation
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Mathematics Physics

Published : 2 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 2 Documents
Search

 1 
ESTIMASI VALUE AT RISK DAN TAIL VALUE AT RISK SAHAM AGRO MENGGUNAKAN METODE PEAK OVER THRESHOLD DENGAN GENERALIZED PARETO DISTRIBUTION Setiawaty, Berlian; Hendartriany, Rayna Nurrizky; Muslimah, Hanifah; Hakim, Adhan Haidar; Aldena, Maulana Tata
MILANG Journal of Mathematics and Its Applications Vol. 21 No. 2 (2025): MILANG Journal of Mathematics and Its Applications
Publisher : School of Data Science, Mathematics and Informatics, IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/milang.21.2.75-88

Abstract

Investasi di pasar modal, khususnya pada saham dengan volatilitas tinggi seperti PT Bank Rakyat Indonesia Agroniaga Tbk (AGRO), mengandung risiko ketidakpastian yang signifikan. Asumsi distribusi normal seringkali gagal menangkap perilaku ekstrem pada data log-return saham yang memiliki karakteristik ekor berat. Penelitian ini bertujuan untuk mengukur risiko ekstrem menggunakan pendekatan Extreme Value Theory melalui metode Peak Over Threshold yang dimodelkan dengan Generalized Pareto Distribution. Data yang digunakan adalah log-return  harian saham AGRO periode Oktober 2022 hingga Oktober 2025. Analisis dilakukan secara terpisah pada ekor kiri untuk risiko kerugian dan ekor kanan untuk potensi keuntungan. Hasil estimasi menunjukkan adanya asimetri struktur ekor, di mana ekor kiri teridentifikasi memiliki batas yang pasti (ekor pendek), sedangkan ekor kanan bersifat ekor berat. Perhitungan Value at Risk dan Tail Value at Risk pada berbagai tingkat kepercayaan mengonfirmasi bahwa potensi keuntungan ekstrem secara statistik lebih dominan dibandingkan risiko kerugian ekstrem. Temuan ini memberikan informasi krusial bagi investor dalam menyusun strategi manajemen risiko yang lebih akurat dan efektif dibandingkan menggunakan metode konvensional. Kata kunci: Extreme Value Theory, Generalized Pareto Distribution, Peak Over Threshold, Tail Value at Risk, Value at Risk.
Precision-Oriented Churn Prediction with a Fine-Tuned Meta-Learner Stack Model and SHAP: A Case Study on IBM Telco Ghaza Antani, Tajmahal; Hakim, Adhan Haidar; Nurrizky, Rayna; Annelia Einstania Vyorra, Venny; Septyanto, Fendy
Indonesian Actuarial Journal Vol. 1 No. 2 (2025): Indonesian Actuarial Journal
Publisher : Persatuan Aktuaris Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.65689/iajvol01no2pp137-151

Abstract

Customer churn prediction is essential in the telecommunications industry, where maintaining existing customers is significantly more cost-effective than acquiring new ones. This study introduces a precision-oriented stacked ensemble model to predict churn using the IBM Telco Customer Churn dataset. Emphasis is placed on maximizing precision to reduce false positives, thereby minimizing unnecessary and costly intervention efforts. The proposed architecture employs LightGBM, CatBoost, and Logistic Regression as base learners, with a fine-tuned ElasticNet serving as the meta-learner. Evaluation results show that the stacking model achieves strong overall performance, attaining an AUC of 0.917 and the highest precision among all models tested. To ensure interpretability, SHapley Additive exPlanations (SHAP) are applied to identify key drivers of churn such as number of referrals, contract type, monthly charges, and tenure. These findings demonstrate that a precision-focused approach can balance business efficiency and predictive power, offering a robust framework for proactive and cost-sensitive churn management.
Co-Authors Aldena, Maulana Tata Annelia Einstania Vyorra, Venny Berlian Setiawaty Fendy Septyanto Ghaza Antani, Tajmahal Hendartriany, Rayna Nurrizky Muslimah, Hanifah Nurrizky, Rayna