RISK PREMIUM DETERMINATION USING WEIGHTED DISTRIBUTION APPROACH

• Main Author: WIRJADI, DANNY
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/15273
• Institution: Institut Teknologi Bandung

This thesis aims to describe essential characteristics of two risk measures, such as: Conditional Tail Expectation (CTE) and Tail Standard Deviation (TSD) using weighted distribution approach. It also describes the variation of the data for values greater than the Value-at-Risk (VaR), using Tail Conditional Variance (CTV). In this thesis, risk measures for some claim severity distributions such as Gamma, Weibull, Pareto, Single-Parameter Pareto, Lognormal and Loglogistic are described. As a case study, analysis is carried out when two data sets have the sums mean value, but different standard deviation. The determination of the risk measure of a random variable that follows a particular distribution was done analytically and/or numerically. From the analysis conducted to various claim severity distributions, formulas for determining CTE and CTV for each distribution are obtained. Using those formulas, a risk measure called Tail Standard Distribution (TSD) is calculated.