The present paper aims to propose an alternative solution approach in obtaining the fuzzy optimal solution to a fully fuzzy transportation problem with minimum uncertainty. In this paper, the fully fuzzy transportation problem is transformed into equivalent transportation problem involving interval numbers. The solutions to these transportation problems involving interval numbers are then obtained with the help of transportation problem technique. A set of five random numerical examples has been solved using the proposed approach.

risk measure, Value-at-Risk, Q-Q plot, mean excess plot, backtesting.

Received: October 4, 2021; Accepted: December 18, 2021; Published: January 14, 2022

How to cite this article: Davy Cardorel Nzaba Kaya, Rafal Kulik and Bernédy Nel Messie Kodia Banzouzi, Comparison of estimation methods for Value-at-Risk, Universal Journal of Mathematics and Mathematical Sciences 15 (2022), 43-62. DOI: 10.17654/2277141722004

This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License

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