Processing, Please wait...

  • Home
  • About Us
  • Search:
  • Advanced Search

Growing Science » Decision Science Letters » Estimating the Value-at-Risk (VaR) in stock investment of insurance companies: An application of the extreme value theory

Journals

  • IJIEC (777)
  • MSL (2643)
  • DSL (690)
  • CCL (528)
  • USCM (1099)
  • ESM (421)
  • AC (562)
  • JPM (293)
  • IJDS (952)
  • JFS (101)
  • HE (37)
  • SCI (36)

DSL Volumes

    • Volume 1 (10)
      • Issue 1 (5)
      • Issue 2 (5)
    • Volume 2 (30)
      • Issue 1 (5)
      • Issue 2 (6)
      • Issue 3 (9)
      • Issue 4 (10)
    • Volume 3 (53)
      • Issue 1 (15)
      • Issue 2 (10)
      • Issue 3 (19)
      • Issue 4 (9)
    • Volume 4 (48)
      • Issue 1 (10)
      • Issue 2 (12)
      • Issue 3 (14)
      • Issue 4 (12)
    • Volume 5 (39)
      • Issue 1 (12)
      • Issue 2 (10)
      • Issue 3 (8)
      • Issue 4 (9)
    • Volume 6 (30)
      • Issue 1 (8)
      • Issue 2 (6)
      • Issue 3 (9)
      • Issue 4 (7)
    • Volume 7 (41)
      • Issue 1 (8)
      • Issue 2 (8)
      • Issue 3 (8)
      • Issue 4 (17)
    • Volume 8 (38)
      • Issue 1 (8)
      • Issue 2 (6)
      • Issue 3 (14)
      • Issue 4 (10)
    • Volume 9 (39)
      • Issue 1 (8)
      • Issue 2 (9)
      • Issue 3 (14)
      • Issue 4 (8)
    • Volume 10 (43)
      • Issue 1 (7)
      • Issue 2 (8)
      • Issue 3 (20)
      • Issue 4 (8)
    • Volume 11 (49)
      • Issue 1 (9)
      • Issue 2 (9)
      • Issue 3 (14)
      • Issue 4 (17)
    • Volume 12 (64)
      • Issue 1 (12)
      • Issue 2 (24)
      • Issue 3 (13)
      • Issue 4 (15)
    • Volume 13 (78)
      • Issue 1 (21)
      • Issue 2 (18)
      • Issue 3 (19)
      • Issue 4 (20)
    • Volume 14 (87)
      • Issue 1 (21)
      • Issue 2 (23)
      • Issue 3 (25)
      • Issue 4 (18)
    • Volume 15 (41)
      • Issue 1 (19)
      • Issue 2 (22)

Keywords

Supply chain management(168)
Jordan(165)
Vietnam(151)
Customer satisfaction(120)
Performance(115)
Supply chain(112)
Service quality(98)
Competitive advantage(97)
Tehran Stock Exchange(94)
SMEs(89)
optimization(87)
Sustainability(87)
Artificial intelligence(86)
Financial performance(84)
Trust(83)
TOPSIS(83)
Job satisfaction(81)
Knowledge Management(79)
Social media(78)
Factor analysis(78)


» Show all keywords

Authors

Naser Azad(82)
Zeplin Jiwa Husada Tarigan(66)
Mohammad Reza Iravani(64)
Endri Endri(45)
Muhammad Alshurideh(42)
Hotlan Siagian(40)
Dmaithan Almajali(37)
Jumadil Saputra(36)
Muhammad Turki Alshurideh(35)
Ahmad Makui(33)
Barween Al Kurdi(32)
Hassan Ghodrati(31)
Basrowi Basrowi(31)
Sautma Ronni Basana(31)
Mohammad Khodaei Valahzaghard(30)
Shankar Chakraborty(29)
Ni Nyoman Kerti Yasa(29)
Haitham M. Alzoubi(28)
Sulieman Ibraheem Shelash Al-Hawary(28)
Prasadja Ricardianto(28)


» Show all authors

Countries

Iran(2198)
Indonesia(1311)
Jordan(815)
India(798)
Vietnam(510)
Saudi Arabia(478)
Malaysia(446)
China(231)
United Arab Emirates(226)
Thailand(160)
United States(115)
Turkey(112)
Ukraine(110)
Egypt(106)
Peru(94)
Canada(93)
Morocco(86)
Pakistan(85)
United Kingdom(80)
Nigeria(78)


» Show all countries

Decision Science Letters

ISSN 1929-5812 (Online) - ISSN 1929-5804 (Print)
Quarterly Publication
Volume 12 Issue 4 pp. 749-758 , 2023

Estimating the Value-at-Risk (VaR) in stock investment of insurance companies: An application of the extreme value theory Pages 749-758 Right click to download the paper Download PDF

Authors: Riaman Riaman, Amarulla Octavian, Sudradjat Supian, Sukono Sukono, Jumadil Saputra

DOI: 10.5267/j.dsl.2023.7.001

Keywords: Risk, Investment, Insurance, Extreme Value Theory

Abstract: As a capital market investment, stocks have risks that must be managed. Therefore, investors should consider the returns and risks of investment products. This study aims to estimate the risk of insurance companies' loss when investing. The method used to estimate the level of risk is Value at Risk (VaR) based on Extreme Value Theory (EVT). The data used is secondary data in the form of daily stock closing prices from two insurance companies, AXA General Insurance and BRI Insurance, from January 2016 to January 2022. The data were used to estimate the risk value according to the EVT principle. As a result, Insurance AXA General Insurance, with 5.91% liquidity, has the lowest VaR value with a 99% confidence level, while BRI Insurance has 5.04%. We concluded from these results that AXA General Insurance has a lower investment risk. It means that each company has a different risk value. Therefore, investors should know these risk factors when choosing a company.

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)
  • 17
  • 1
  • 2
  • 3
  • 4
  • 5

Journal: Decision Science Letters | Year: 2023 | Volume: 12 | Issue: 4 | Views: 1093 | Reviews: 0

Related Articles:
  • Investigating the collective value at risk model (CVaR) and its application ...
  • Decision-making in formation of mean-VaR optimal portfolio by selecting sto ...
  • An investment decision-making model to predict the risk and return in stock ...
  • Analysing the decision making for agricultural risk assessment: An applicat ...
  • Investigating the agricultural losses due to climate variability: An applic ...

Add Reviews

Name:*
E-Mail:
Review:
Bold Italic Underline Strike | Align left Center Align right | Insert smilies Insert link URLInsert protected URL Select color | Add Hidden Text Insert Quote Convert selected text from selection to Cyrillic (Russian) alphabet Insert spoiler
winkwinkedsmileam
belayfeelfellowlaughing
lollovenorecourse
requestsadtonguewassat
cryingwhatbullyangry
Security Code: *
Include security image CAPCHA.
Refresh Code

® 2010-2026 GrowingScience.Com