Perhitungan cadangan klaim inccured but not reported (IBNR) menggunakan metode generalized linear model (GLM) dan copula = Incurred but not reported (IBNR) claim reserving using generalized linear model (GLM) and copula

Aileen, Vanessa (2024) Perhitungan cadangan klaim inccured but not reported (IBNR) menggunakan metode generalized linear model (GLM) dan copula = Incurred but not reported (IBNR) claim reserving using generalized linear model (GLM) and copula. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Perusahaan asuransi perlu memastikan bahwa perusahaan memiliki cukup dana untuk membayar klaim yang dapat terjadi di masa depan. Oleh karena itu, diperlukan perhitungan cadangan klaim dengan metode yang terbaik. Penelitian ini bertujuan untuk membandingkan hasil perhitungan cadangan klaim dari tiga line of business yang didapatkan dari CASdataset di perangkat lunak R menggunakan metode Chain-Ladder, metode Generalized Linear Model (GLM), metode GLM-Copula (Empirical) dan metode GLM-Copula (Distribusi Gamma). Model copula terbaik untuk metode GLM-Copula (Empirical) adalah copula Clayton dan model copula terbaik untuk metode GLM-Copula (Distribusi Gamma) adalah copula Gaussian. Metode GLM-Copula (Distribusi Gamma) merupakan metode terbaik untuk Line of Business 1 dengan nilai rata-rata coefficient of variance (CV) sebesar 24,9956%. Metode GLM-Copula (Empirical) merupakan metode terbaik untuk Line of Business 2 dengan nilai rata-rata CV sebesar 30,9799%. Metode GLM-Copula (Distribusi Gamma) merupakan metode terbaik untuk Line of Business 3 dengan nilai rata-rata CV sebesar 14,9341%. Metode GLM-Copula (Distribusi Gamma) merupakan metode terbaik untuk ketiga line of business dengan nilai rata-rata CV sebesar 23,7402%. /Insurance companies need to ensure that they have enough funds to pay claims that may occur in the future. Therefore, it is necessary to calculate claims reserves using the best method. This study aims to compare the results of claim reserving calculations from three line of business obtained from the CASdataset in the R software using the Chain-Ladder method, the Generalized Linear Model (GLM) method, the GLM-Copula (Empirical) method, and the GLM-Copula (Gamma Distribution) method. The best copula model for the GLM-Copula (Empirical) method is the Clayton copula and the best copula model for the GLM-Copula (Gamma Distribution) method is the Gaussian copula. The GLM-Copula (Gamma Distribution) method is the best method for line of business 1 with an average value of coefficient of variance (CV) of 24.9956%. The GLM-Copula (Empirical) method is the best method for line of business 2 with an average value of CV of 30,9799%. The GLM-Copula (Gamma Distribution) method is the best method for line of business 3 with an average value of CV of 14,9341%. The GLM-Copula (Gamma Distribution) method is the best method for all 3 line of business with an average value of CV of 23,7402%.

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