Penentuan payoff dan premi parametric business interruption insurance berdasarkan tingkat kebangkrutan usaha negara di Eropa = Payoff and premium calculation for parametric business interruption insurance based on enterprise death rate in Europe

Hartono, Ham Victoria Janice (2023) Penentuan payoff dan premi parametric business interruption insurance berdasarkan tingkat kebangkrutan usaha negara di Eropa = Payoff and premium calculation for parametric business interruption insurance based on enterprise death rate in Europe. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini membahas mengenai salah satu solusi untuk mengatasi masalah klaim yang dialami oleh business interruption insurance yaitu dengan menerapkan konsep asuransi parametrik. Indeks yang akan digunakan merupakan kombinasi faktor-faktor makroekonomi dari negara yang akan diteliti. Data yang akan digunakan berasal dari Eropa yang berisi data tingkat kebangkrutan usaha dan faktor-faktor makroekonomi dari 32 negara dan 14 sektor di Eropa. Metode regresi yang akan dibandingkan dalam penelitian adalah metode logistic regression, count regression models dan regression tree. Akan dilakukan dua kasus pembangunan model, dengan variabel negara dan tanpa variabel negara untuk melihat signifikansi variabel negara dalam model regresi. Hasil prediksi yang didapatkan akan digunakan untuk menghitung payoff dan premi dari parametric business interruption insurance. Kemudian, payoff akan dihitung untuk kontrak asuransi indemnity-based dan indemnity-based yang akan digunakan untuk menghitung basis risk yang dihasilkan. Basis risk disebabkan oleh ketidaksesuaian dalam skenario pembayaran asuransi parametrik. Kemudian, akan ditentukan model regresi yang paling tepat digunakan oleh parametric business interruption insurance berdasarkan hasil perhitungan basis risk. Pemilihan model akan dilakukan dengan melihat mayoritas model terbaik dengan basis risk paling rendah dan nilai F1 Score paling tinggi dari masing-masing negara dan sektor. Analisa lebih lanjut mengenai pembaruan masing-masing model regresi akan dilakukan untuk menemukan model yang paling optimal. Hasil penelitian menunjukkan bahwa model regression tree merupakan model paling tepat untuk digunakan./This research discusses one of the solutions to overcome claim problems experienced by business interruption insurance which is to apply the concept of parametric insurance. The index used is a combination of macroeconomic factors from the countries studied. The data used are from Europe and contains data on death rate of enterprise and macroeconomic factors of 32 countries and 14 business sectors. The regression methods to be compared in this study are logistic regression, count regression models and regression tree. Two cases of model development will be carried out, one with countries variable and one without to see the significance of the variable in the regression models. The prediction results will be used to calculate the payoff and premium from the parametric business interruption insurance. Insurance payoffs will then be calculated for both indemnity-based and index-based insurance contracts to be used in the calculation of the basis risk produced. Basis risk is caused by a mismatch in the parametric insurance payoff scenario. The most appropriate regression model to be used by the parametric business interruption insurance will be determined based on the calculation results of the basis risk. Model selection will be carried out by observing the majority of best models with the lowest basis risk and highest F1 Score from each country and each sector. A refreshed model of each of the regression models will be analyzed further to find the most optimal model. The results showed that the regression tree model was the best model to be used.

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