Pencadangan Klaim IBNR dengan Pendekatan Distribusi Keluarga Tweedie pada Generalized Linear Model

Media Rahmawati, Isnani Darti, Marjono Marjono

Abstract


Total klaim dalam asuransi umum merupakan jumlah dari klaim yang telah dilaporkan dan klaim incurred but not reported (IBNR). Cadangan klaim IBNR belum diketahui nominalnya, sehingga perlu diestimasi. Hasil estimasiyang akurat berpengaruh terhadap manajemen internal, investor, dan regulator suatu perusahaan asuransi.Dalam artikel ini, dibahas tentang estimasi cadangan klaim IBNR menggunakan metode GLM dengan pendekatan distribusi keluarga Tweedie, yaitu: Over Dispersed Poisson(ODP), Gamma, dan majemuk Poisson-Gamma. Analisis performa estimasi pencadangan dinilai dengan menggunakan mean squared error prediction (MSEP). Hasil pencadangan menunjukkan bahwa estimasi terbaik diperoleh dengan menggunakan metode GLM model ODP


Keywords


IBNR; Generalized Linear Model; distribusi keluarga Tweedie.

Full Text:

PDF

References


J. Friedland and K. Llp, “Casualty Actuarial Society Estimating Unpaid Claims Using Basic Techniques,” 2010.

T. Mack, “Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates,” ASTIN Bull., vol. 23, no. 02, pp. 213–225, 2006.

B. P. D. England and R. J. Verrall, “Stochastic Claims Reserving In General Insurance,” Int. J., vol. 544, no. January, 2002.

T. Hartl, “Fitting a GLM to Incomplete Development Triangles,” pp. 1–36, 2010.

P.McCullagh and J.A. Nelder,“Generalized Linear Models,” CRC Press., vol. 37, 1989.

B. Jorgensen, “The Theory Of Dispersion Models,” CRC Press, 1997.

G. Taylor, and G. McGuire, “Stochastic Loss Reserving Using Generalized Linear Models,” CAS Monograph, vol. 3, 2016.

S. Bjo ̈rkwall, S. O. Ho ̈ssjer, E. Ohlsson, and R. Verrall, “A Generalized Linear Model With Smoothing Effects For Claims Reserving,” Insurance: Mathematics and Economics., vol. 49, no. 1, p. 27–37, 2011.

A. E. Renshaw, and R. J. Verrall, “A Stochastic Model Underlying The Chainladder Technique,” British Actuarial Journal, vol. 4, no. 4, p. 903–923, 1998.

M. V. Wu ̈thrich, “Claims Reserving Using Tweedie’s Compound Poisson Model.”ASTIN Bulletin: The Journal of the IAA, 33(2):331–346, 2016.

T. Mack,“Schadenversicherungsmathematik,” Verlag Vers.swirtschaft, Karisruhe, 1997.

M. V. Wu ̈thrich, Non-life insurance: mathematics & statistics. https://ssrn.com/abstract=2319328, Diakses pada 31 Januari 2018, 2017.

A. Carrato, F. Concina, M. Gesmann, D. Murphy, M. V. Wu ̈thrich, and W. Zhang, “Claims Reserving with R: Chainladder-0.2. 5 Package Vignette,” 2017.




DOI: http://dx.doi.org/10.12962/limits.v16i1.5075

Refbacks

  • There are currently no refbacks.


Jumlah Kunjungan:

Creative Commons License
Limits: Journal Mathematics and its Aplications by Pusat Publikasi Ilmiah LPPM Institut Teknologi Sepuluh Nopember is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Based on a work at https://iptek.its.ac.id/index.php/limits.