Syuhada, Khreshna; Puspitasari, Rizka; Arnawa, I Kadek Darma - 2024
innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and … instability, which can undermine their effectiveness. To mitigate these issues, we applied classical credibility theory, resulting … expected risk models, referred to as CreVaR, provide more stable and precise VaR forecasts by incorporating credibility …
