Truncated Gamma-Truncated Lomax Distribution in Modelling Data Claims
Abstract
One of the methods to analyze the risk of loss on insurance companies based on the historical data on claim payments is modelling the data into severity distribution. This research deals with severity distribution by connecting two distribution Truncated Gamma and Truncated Lomax in modelling claim payments. The Kolmogorov-Smirnov test is used to test the fit of model. The result shows that Truncated Gamma-Truncated Lomax distribution is the best model to analyze the risk of loss based on data claim payments. The AIC value of 1533,915 and the BIC value of 1550,132.
Full Text:
PDFReferences
G. E. Rejda and M. J. McNamara, Principles of Risk Management and Insurance. Pearson Education Inc., 2018.
S. Klugman A., H. Panjer H., and G. Willmot E., Loss Models: Nonlife Actuarial Models, Fourth Edi. Canada: Wiley, 2012.
J. Zhao, Z. Ahmad, E. Mahmoudi, E. H. Hafez, and M. M. M. El- Din, “A new class of heavytailed distributions: Modeling and simulating actuarial measures,” Complexity, vol. 2021, no. iii, 2021, doi: 10.1155/2021/5580228.
J. Garrido, C. Genest, and J. Schulz, “Generalized linear models for dependent frequency and severity of insurance claims,” Insur. Math. Econ., vol. 70, pp. 205–215, 2016, doi: 10.1016/j.insmatheco.2016.06.006.
C. Laudag´e, S. Desmettre, and J. Wenzel, “Severity modeling of extreme insurance claims for tariffication,” Insur. Math. Econ., vol. 88, pp. 77–92, 2019, doi: 10.1016/j.insmatheco.2019.06.002.
R. Diandarma, D. Lestari, S. Mardiyati, R. A. Kafi, S. Devila, and L. Safitri, “Truncated gamma-truncated Weibull distribution for modeling claim severity,” AIP Conf. Proc., vol. 2374, no. Iscpms, pp. 1–9, 2021,
doi: 10.1063/5.0059259.
DOI: http://dx.doi.org/10.12962/j24775401.v10i2.21948
Refbacks
- There are currently no refbacks.
View My Stats
International Journal of Computing Science and Applied Mathematics 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/ijcsam.