How to cite this paper
Riaman, R., Octavian, A., Supian, S., Sukono, S & Saputra, J. (2023). Estimating the Value-at-Risk (VaR) in stock investment of insurance companies: An application of the extreme value theory.Decision Science Letters , 12(4), 749-758.
Refrences
Asimit, A. V., Vernic, R., & Zitikis, R. (2013). Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk: The multivariate Pareto-II model. Risks, 1(1), 14-33
Baran, J., & Witzany, J. (2011). A comparison of EVT and standard VaR estimations. Available at SSRN 1768011.
Brooks, C., Clare, A. D., Dalle Molle, J. W., & Persand, G. (2005). A comparison of extreme value theory approaches for determining value at risk. Journal of empirical finance, 12(2), 339-352.
Chung, Y., Neiswanger, W., Char, I., & Schneider, J. (2021). Beyond pinball loss: Quantile methods for calibrated uncertainty quantification. Advances in Neural Information Processing Systems, 34, 10971-10984.
Cruz, M. (2003) Modelling, Measuring and Hedging Operational Risk. New York: John Wiley & Sons.
Dhaene, J., Kukush, A., Linders, D., & Tang, Q. (2012) Remarks on quantiles and distortion risk measures. European Actuarial Journal, 2(2), 319-328.
Diop, A. N. (2019) Agricultural Risk Pricing in Senegal. Journal of Mathematical Finance, 9(02), 182.
Echaust, K., & Just, M. (2020). Value at risk estimation using the GARCH-EVT approach with optimal tail selection. Mathematics, 8(1), 114.
Fernandez, V. (2003). Extreme value theory and value at risk. Revista de Análisis Económico, 18(1).
Gencay, R., & Selçuk, F. (2004). Extreme value theory and Value-at-Risk: Relative performance in emerging markets. International Journal of forecasting, 20(2), 287-303.
Goetzmann, W. N., Brown, S. J., Gruber, M. J., & Elton, E. J. (2014). Modern portfolio theory and investment analysis. John Wiley & Sons, 237.
Jorion, P. (2001) Value at Risk: The New Benchmark for Managing Financial Risk, 3nd. New York: McGraw-Hill Companies.
Kotz, S., & Nadarajah, S. (2000). Extreme value distributions: theory and applications. World Scientific.
Kotz, S., & Nadarajah, S. (2002). Extreme Value Distribution (Theory and Application). London: Imperia College Press.
Lin, P. C., & Ko, P. C. (2009). Portfolio value-at-risk forecasting with GA-based extreme value theory. Expert Systems with Applications, 36(2), 2503-2512.
Marimoutou, V., Raggad, B., & Trabelsi, A. (2009). Extreme value theory and value at risk: application to oil market. Energy Economics, 31(4), 519-530.
Megginson, L.W. (1997). Corporate Finance Theory. 1st ed., Addison-Wesley Educational Publisher Inc.
Riaman, R., Sukono, S., Supian, S., & Ismail, N. (2021a) Analysing the decision making for agricultural risk assessment: An application of extreme value theory. Decision Science Letters, 10(3), 351-360.
Riaman, R., Sukono, S., Supian, S., & Ismail, N. (2021b) Determining the premium of paddy insurance using the extreme value theory method and the operational value at risk approach. Journal of Physics: Conference Series, 1722(1).
Riaman, Sukono, Supian, S., & Ismail, N. (2022). Mathematical Modeling for Estimating the Risk of Rice Farmers’ Losses Due to Weather Changes. Computation, 10(8), 140.
Sukono, S., Riaman, R., Supian, S., Hidayat, Y., Saputra, J., & Pribadi, D. (2021) Investigating the agricultural losses due to climate variability: An application of conditional value-at-risk approach. Decision Science Letters, 10(1), 71-78.
Tandelilin, E. (2007). Analisis Investasi dan Manajemen Portofolio. Edisi pertama. Yogyakarta: BPFE.
Zuhara, U., Akbar, M.S., & Haryono, H. (2012). Penggunaan Metode VaR (Value at Risk) dalam Analisis Risiko Investasi Saham dengan Pendekatan Generalized Pareto Distribution (GPD). Jurnal Sains dan Seni ITS, 1(1), D56-D61. https://finance.yahoo.com/ (diakses pada tangal 25 Mei 2020)
Baran, J., & Witzany, J. (2011). A comparison of EVT and standard VaR estimations. Available at SSRN 1768011.
Brooks, C., Clare, A. D., Dalle Molle, J. W., & Persand, G. (2005). A comparison of extreme value theory approaches for determining value at risk. Journal of empirical finance, 12(2), 339-352.
Chung, Y., Neiswanger, W., Char, I., & Schneider, J. (2021). Beyond pinball loss: Quantile methods for calibrated uncertainty quantification. Advances in Neural Information Processing Systems, 34, 10971-10984.
Cruz, M. (2003) Modelling, Measuring and Hedging Operational Risk. New York: John Wiley & Sons.
Dhaene, J., Kukush, A., Linders, D., & Tang, Q. (2012) Remarks on quantiles and distortion risk measures. European Actuarial Journal, 2(2), 319-328.
Diop, A. N. (2019) Agricultural Risk Pricing in Senegal. Journal of Mathematical Finance, 9(02), 182.
Echaust, K., & Just, M. (2020). Value at risk estimation using the GARCH-EVT approach with optimal tail selection. Mathematics, 8(1), 114.
Fernandez, V. (2003). Extreme value theory and value at risk. Revista de Análisis Económico, 18(1).
Gencay, R., & Selçuk, F. (2004). Extreme value theory and Value-at-Risk: Relative performance in emerging markets. International Journal of forecasting, 20(2), 287-303.
Goetzmann, W. N., Brown, S. J., Gruber, M. J., & Elton, E. J. (2014). Modern portfolio theory and investment analysis. John Wiley & Sons, 237.
Jorion, P. (2001) Value at Risk: The New Benchmark for Managing Financial Risk, 3nd. New York: McGraw-Hill Companies.
Kotz, S., & Nadarajah, S. (2000). Extreme value distributions: theory and applications. World Scientific.
Kotz, S., & Nadarajah, S. (2002). Extreme Value Distribution (Theory and Application). London: Imperia College Press.
Lin, P. C., & Ko, P. C. (2009). Portfolio value-at-risk forecasting with GA-based extreme value theory. Expert Systems with Applications, 36(2), 2503-2512.
Marimoutou, V., Raggad, B., & Trabelsi, A. (2009). Extreme value theory and value at risk: application to oil market. Energy Economics, 31(4), 519-530.
Megginson, L.W. (1997). Corporate Finance Theory. 1st ed., Addison-Wesley Educational Publisher Inc.
Riaman, R., Sukono, S., Supian, S., & Ismail, N. (2021a) Analysing the decision making for agricultural risk assessment: An application of extreme value theory. Decision Science Letters, 10(3), 351-360.
Riaman, R., Sukono, S., Supian, S., & Ismail, N. (2021b) Determining the premium of paddy insurance using the extreme value theory method and the operational value at risk approach. Journal of Physics: Conference Series, 1722(1).
Riaman, Sukono, Supian, S., & Ismail, N. (2022). Mathematical Modeling for Estimating the Risk of Rice Farmers’ Losses Due to Weather Changes. Computation, 10(8), 140.
Sukono, S., Riaman, R., Supian, S., Hidayat, Y., Saputra, J., & Pribadi, D. (2021) Investigating the agricultural losses due to climate variability: An application of conditional value-at-risk approach. Decision Science Letters, 10(1), 71-78.
Tandelilin, E. (2007). Analisis Investasi dan Manajemen Portofolio. Edisi pertama. Yogyakarta: BPFE.
Zuhara, U., Akbar, M.S., & Haryono, H. (2012). Penggunaan Metode VaR (Value at Risk) dalam Analisis Risiko Investasi Saham dengan Pendekatan Generalized Pareto Distribution (GPD). Jurnal Sains dan Seni ITS, 1(1), D56-D61. https://finance.yahoo.com/ (diakses pada tangal 25 Mei 2020)