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All Journal International Journal of Global Operations Research International Journal of Quantitative Research and Modeling
Endang Soeryana
Unknown Affiliation
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Environmental Science Mathematics Physics

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Estimation of the Amount of Rice Crop Insurance Premium in the Citarum River Basin Nurfadhlina Abdul Hali; Muhammad Faiz Rifqi; Endang Soeryana
International Journal of Global Operations Research Vol 1, No 1 (2020)
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v1i1.16

Abstract

Determination of crop insurance premiums in the Citarum River basin can be calculated by mathematical methods. One of the methods of calculation of the premium that is the normal curve methods with data on crop productivity is assumed to be Gaussian. In this thesis are discussed in crop insurance premium calculations Areas Citarum River basin West Bandung Regency with normal curve method with a significant level of coverage. These methods are used because data on crop productivity gained Gaussian. Normal curve method is used without using the assumption of coefficients of variation, and try for some level of coverage. Application materials used are rice crop productivity data in the Citarum River basin of West Bandung Regency in 2008-2014. This research resulted in the value of the rice crop insurance premiums for farmers in the area based on a certain level of coverage.
A GARCH APPROACH TO VaR CALCULATION IN FINANCIAL MARKET Nurfadhlina Abdul Halim; Endang Soeryana; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (283.537 KB) | DOI: 10.46336/ijqrm.v1i1.5

Abstract

Value at Risk (VaR) has already becomes a standard measurement that must be carried out by financial institution for both internal interest and regulatory. VaR is defined as the value that portfolio will loss with a certain probability value and over a certain time horizon (usually one or ten days). In this paper we examine of VaR calculation when the volatility is not constant using generalized autoregressive conditional heteroscedastic (GARCH) model. We illustrate the method to real data from Indonesian financial market that is the stock of PT. Indosat Tbk.
Co-Authors Alit Kartiwa Muhammad Faiz Rifqi Nurfadhlina Abdul Hali Nurfadhlina Abdul Halim