GROSS CLAIMS RESERVE OF AN EARTHQUAKE INSURANCE: BORNHUETTER-FERGUSON METHOD AND OVER-DISPERSED POISSON MODEL

• Main Author: LIE (10112063), KRISTIANTO
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/22848
• Institution: Institut Teknologi Bandung

An earthquake is a natural disaster that may cause death, damage to infrastructure and property, as well as business interuption. An insurance company needs to set up a technical reserve for claims which is called claim reserve. In this final project (Tugas Akhir), the prediction of claims reserve and the Mean Square Error Prediction (MSEP) of the predictor of the reserve for an insurance to damage to properties and business interruptions caused by earthquakes, are determined using three approaches. The first is a run-off triangle method called the Bornhuetter- Ferguson method (Mack, 2008). The second is to model the incremental claims in the given run-off triangle using an Over-dispersed Poisson (ODP) distribution model which belongs to the exponential family distribution. Using the ODP model, the prediction of the claims reserve and the MSEP are determined using a Generalized Linear Model (GLM) approach. The last, is to use a catastrophe model for tectonic earthquakes which consists of four modules: hazard, inventory, vulnerability and loss. The obtained predictions of claims reserves are compared and then used to determined a claims reserve for the earthquake insurance