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Trapezoidal positive/negative fuzzy numbers have no single definition; instead, various authors define them in relation to different concepts. This means that arithmetic operations for trapezoidal fuzzy numbers also differ. For the operations of addition, subtraction, and scalar multiplication, there are not many differences; for multiplication, however, there are many differences. In general, multiplication is divided into various cases. For the inverse operation, there is not much to define; in general, for any trapezoidal fuzzy number u ~ ,   u ~ ⊗ 1 u ~ = i ~ = (1 , 1 , 0 , 0) does not necessarily apply. As a result of the different arithmetic operations for multiplication and division employed by various authors, several researchers have tackled the same problem and reached different solutions, meaning that the application will also produce different results. To date, many authors have proposed various alternatives for the algebra of the trapezoidal fuzzy number. In this paper, using the parametric form approach to trapezoidal fuzzy numbers, an alternative to multiplication with only one formula is constructed for various cases. Furthermore, based on the definition of multiplication for any trapezoidal fuzzy number, u ~ is constructed 1 u ~ so that u ~ ⊗ 1 u ~ = i ~ = (1 , 1 , 0 , 0) . Based on these conditions, we show that various properties that apply to real numbers also apply to any trapezoidal fuzzy number. Furthermore, we modify the elementary row operational steps for the trapezoidal fuzzy number matrix, which can be used to determine the inverse of a trapezoidal fuzzy number matrix with the order m × m . We also give the steps and examples necessary to determine the general inverse for a trapezoidal fuzzy number matrix of the order m × n with m   ≠ n . This ability to easily determine the inverse and general inverse of a trapezoidal fuzzy number matrix has a number of applications, such as solving fully trapezoidal fuzzy number linear systems and fuzzy transportation problems, especially in applications in fields outside of mathematics; for example, the application of triangular fuzzy numbers in medical problems is a topic currently receiving a significant amount of attention. [ABSTRACT FROM AUTHOR]

Investors generally aim to obtain a high return from their stock portfolio. However, investors must realize that a high value-at-risk (VaR) is essential to calculate for this aim. One of the objects in the VaR calculation is the asymmetric return volatility of stocks, which causes an unbalanced decrease and increase in returns. Therefore, this study proposes a mean-value-at-risk (mean-VaR) stock portfolio optimization model based on stocks' asymmetric return volatility and investors' risk aversion preferences. The first stage is the determination of the mean of all stocks in the portfolio conducted using the autoregressive moving average Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity (ARMA-GJR-GARCH) models. Then, the second stage is weighting the capital of each stock based on the mean-VaR model with the investors' risk aversion preferences. This is conducted using the Lagrange multiplier method. Then, the model is applied to stock data in Indonesia's capital market. This application also analyzed the sensitivity between the mean, VaR, both ratios, and risk aversion. This research can be used for investors in the design and weighting of capital in a stock portfolio to ensure its asymmetrical effect is as small as possible. [ABSTRACT FROM AUTHOR]

The issuance of multiple-event catastrophe bonds (MECBs) has the potential to increase in the next few years. This is due to the increasing trend in the frequency of global catastrophes, which makes single-event catastrophe bonds (SECBs) less relevant. However, there are obstacles to issuing MECBs since the pricing framework is still little studied. Therefore, this study aims to develop such a new pricing framework. The model uniquely involves three new variables: the trigger event correlation, interest, and inflation rates. The trigger event correlation rate was accommodated by the involvement of the copula while the interest and inflation rates were simultaneously considered using an integrated autoregressive vector stochastic model. After the model was obtained, the model was simulated on storm catastrophe data in the United States. Finally, the effect of the three variables on MECB prices was also analyzed. The analysis results show that the three variables make MECB prices more fairly than other models. This research is expected to guide special purpose vehicles to set fairer MECB prices and can also be used as a reference for investors in choosing MECBs based on the rates of trigger event correlation and the real interest they can expect. [ABSTRACT FROM AUTHOR]

The compound Poisson process (CPP) is often used in catastrophe risk modeling, for example, aggregate loss risk modeling. Hence, CPP can be involved in pricing catastrophe bonds (CAT bonds) because it requires a catastrophe risk modeling method. However, studies of how the application of CPP in pricing CAT bonds is still scarce. Therefore, this study aims to conduct a systematic literature review (SLR) on how CPP is used in pricing CAT bonds. The SLR consists of three stages: the literature selection, bibliometric analysis, and gap analysis. At the literature selection stage, the 30 articles regarding the application of CPP in pricing CAT bonds are obtained. Then, the conceptual and nonconceptual structures of the articles are mapped at the bibliometric analysis stage. Finally, in the gap analysis stage, the application of CPP in pricing CAT bonds from the previous studies is analyzed, and new research opportunities are studied. This research can be a reference for researchers regarding the application of CPP in pricing CAT bonds and can motivate them to design more beneficial ways of pricing CAT bonds with CPP in the future. [ABSTRACT FROM AUTHOR]