{"title":"Estimating the Value-at-Risk (VaR) in stock investment of insurance companies: An application of the extreme value theory","authors":"Riaman Riaman, Amarulla Octavian, Sudradjat Supian, Sukono Sukono, Jumadil Saputra","doi":"10.5267/j.dsl.2023.7.001","DOIUrl":null,"url":null,"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.","PeriodicalId":38141,"journal":{"name":"Decision Science Letters","volume":null,"pages":null},"PeriodicalIF":1.4000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Decision Science Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5267/j.dsl.2023.7.001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
引用次数: 1
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.
作为一种资本市场投资，股票有风险，必须加以管理。因此，投资者应考虑投资产品的收益和风险。本研究旨在评估保险公司投资时的损失风险。评估风险水平的方法是基于极值理论(EVT)的风险值(VaR)。使用的数据是二级数据，以两家保险公司AXA General insurance和BRI insurance从2016年1月到2022年1月的每日股票收盘价形式。根据EVT原理对数据进行风险值估计。由此可见，流动性为5.91%的安盛保险的VaR值最低，置信水平为99%，而BRI保险的VaR值为5.04%。我们从这些结果中得出结论，安盛保险的投资风险较低。这意味着每个公司都有不同的风险价值。因此，投资者在选择公司时应该了解这些风险因素。
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