Perhitungan retensi dan pertanggungan optimal untuk reasuransi limited stop-loss dengan menggunakan metode value at risk dan conditional tail expectation = Optimal retention and coverage calculation for limited stop-loss reinsurance using value at risk and conditional tail expectation methods

Patika, Yunia (2020) Perhitungan retensi dan pertanggungan optimal untuk reasuransi limited stop-loss dengan menggunakan metode value at risk dan conditional tail expectation = Optimal retention and coverage calculation for limited stop-loss reinsurance using value at risk and conditional tail expectation methods. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Reasuransi merupakan perjanjian yang dibuat antara perusahaan asuransi dengan perusahaan reasuransi dan muncul karena perusahaan asuransi juga perlu melindungi dirinya sendiri terhadap kerugian yang terlalu besar. Kontrak reasuransi yang akan dibahas dalam skripsi ini adalah kontrak reasuransi limited stop-loss. Perhitungan retensi dan pertanggungan optimal dalam reasuransi limited stop-loss skripsi ini akan menggunakan metode ukuran risiko Value at Risk (VaR) dan juga Conditional Tail Expectation (CTE). Nilai retensi (d) dan pertanggungan (β) yang didapatkan sudah optimal jika VaR dan CTE dari total loss asuransi telah minimum. Perhitungan diawali dengan mencari persamaan untuk menghitung d optimal dengan nilai β diketahui dan juga menghitung β optimal dengan nilai d diketahui dengan menggunakan metode VaR dan CTE. Selanjutnya, distribusi dari data dicari dan kemudian gunakan hasil yang telah didapatkan untuk dilakukan perhitungan dengan persamaan yang sudah ditemukan sebelumnya. Dilakukan juga simulasi pada salah satu distribusi yang umum digunakan, yaitu Distribusi Eksponensial. Tugas akhir ini menghasilkan nilai d optimal dengan β diketahui dan nilai β optimal dengan d diketahui untuk beragam tingkat risiko kerugian (α) dan safety loading (ρ). Hal ini diharapkan dapat membantu perusahaan asuransi dalam mengambil keputusan yang tepat terkait dengan kontrak asuransi yang dibuat serta mengurangi risiko kerugian yang mungkin terjadi dalam praktiknya. / Reinsurance is an agreement between an insurance company and a reinsurance company that arises because the insurance company also needs to protect itself against losses that are too large. The reinsurance contract that will be discussed in this thesis is a limited stop-loss reinsurance contract. The calculation of optimal retention and coverage in the limited stop-loss reinsurance of this thesis uses the Value at Risk (VaR) and Conditional Tail Expectation (CTE) risk measurement methods. Retention values (d) and coverage (β) obtained are optimal if the VaR and CTE of the total loss of insurance are minimum. The calculation starts with finding an equation to calculate optimal d with known β and also calculates optimal β with known d using the VaR and CTE methods. Next, find the distribution of the data and then use the results obtained to calculate using the equation that has been found previously. Simulation is also carried out on one of the commonly used distributions, namely Exponential Distribution. This thesis produces an optimal d value with known β and optimal β with known d for various level of risk of loss (α) and safety loading (ρ). This is expected to help insurance companies in making the right decisions related to insurance contracts that are made and reduce the risk of losses that may occur in practice.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Patika, YuniaNIM00000019976yunia.22.yz@gmail.com
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorSaputra, Kie Van IvankyNIDN0401038203kie.saputra@uph.edu
Thesis advisorSembiring, Ukur AriantoNIDN0311056901ukur.sembiring@uph.edu
Uncontrolled Keywords: reasuransi; limited stop-loss; value at risk; conditional tail expectation; retensi; pertanggungan
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Users 5922 not found.
Date Deposited: 16 Jul 2020 02:22
Last Modified: 21 Jul 2020 04:43
URI: http://repository.uph.edu/id/eprint/9276

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