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Enhancing portfolio decarbonization through sensitivityVaR and distorted stochastic dominance

Rohmawati, Aniq; Neswan, Oki; Puspita, Dila; Syuhada, … - In: Risks : open access journal 12 (2024) 10, pp. 1-24

Recent trends in portfolio management emphasize the importance of reducing carbon footprints and aligning investments with sustainable practices. This paper introduces Sensitivity Value-at-Risk (SensitivityVaR), an advanced distortion risk measure that combines Value-at-Risk (VaR) and Expected...

Persistent link: https://www.econbiz.de/10015135770

Modeling the optimal combination of proportional and stop-loss reinsurance with dependent claim and stochastic insurance premium

Sari, Suci Fratma; Hakim, Arief; Magdalena, Ikha; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-20

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by assuming that the insurance premium is random. Their dependence structure is modeled using Sarmanov's bivariate exponential distribution and the Farlie-Gumbel-Morgenstern (FGM)...

Persistent link: https://www.econbiz.de/10014332842

The combined stop-loss and quota-share reinsurance: Conditional tail expectation-based optimization from the joint perspective of insurer and reinsurer

Syuhada, Khreshna; Hakim, Arief; Sari, Suci - In: Risks 9 (2021) 7, pp. 1-21

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this paper, we aim to explore a combination of these...

Persistent link: https://www.econbiz.de/10013200791

Improved Prediction Limits For AR(p) and ARCH(p) Processes

Kabaila, Paul; Syuhada, Khreshna - In: Journal of Time Series Analysis 29 (2008) 2, pp. 213-223

A new simulation-based prediction limit that improves on any given estimative d-step-ahead prediction limit for a Markov process is described. This improved prediction limit can be found with almost no algebraic manipulations. Nonetheless, it has the same asymptotic coverage properties as the...

Persistent link: https://www.econbiz.de/10005177477

The asymptotic efficiency of improved prediction intervals

Kabaila, Paul; Syuhada, Khreshna - In: Statistics & Probability Letters 80 (2010) 17-18, pp. 1348-1353

We consider the Barndorff-Nielsen and Cox (1994, p. 319) method of modifying an estimative prediction interval to obtain an improved prediction interval with better conditional coverage properties. The parameter estimator, on which this improved interval is based, is assumed to have the same...

Persistent link: https://www.econbiz.de/10008868921

Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives

Syuhada, Khreshna; Hakim, Arief; Suprijanto, Djoko - In: Energy economics 129 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014558988

Comparing gold's and Bitcoin's safe-haven roles against energy commodities during the COVID-19 outbreak : a vine copula approach

Syuhada, Khreshna; Suprijanto, Djoko; Hakim, Arief - In: Finance research letters 46 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013342667

Risk quantification and validation for green energy markets : new insight from a credibility theory approach

Syuhada, Khreshna; Hakim, Arief - In: Finance research letters 62 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10014530904

The combined stop-loss and quota-share reinsurance : conditional tail expectation-based optimization from the joint perspective of insurer and reinsurer

Syuhada, Khreshna; Hakim, Arief; Sari, Suci - In: Risks : open access journal 9 (2021) 7, pp. 1-21

Persistent link: https://www.econbiz.de/10012598952

Modeling the optimal combination of proportional and stop-loss reinsurance with dependent claim and stochastic insurance premium

Sari, Suci Fratma; Hakim, Arief; Magdalena, Ikha; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-20

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by assuming that the insurance premium is random. Their dependence structure is modeled using Sarmanov’s bivariate exponential distribution and the Farlie–Gumbel–Morgenstern...

Persistent link: https://www.econbiz.de/10014305958