OPTIMISASI ADJUSTMENT COEFFICIENT UNTUK MENENTUKAN RETENSI OPTIMAL PADA KOMBINASI TIPE REASURANSI QUOTA-SHARE TREATIES DAN EXCESS OF LOSS TREATIES DARI N RISIKO SALING BEBAS

• Main Author: Rivanni Richky, Allissa
• Format: Final Project
• Language: Indonesia
• Subjects: Ilmu alam dan matematika
• Online Access: https://digilib.itb.ac.id/gdl/view/33853
• Institution: Institut Teknologi Bandung

One effort made by an insurance company to anticipate its financial losses is risk sharing with a reinsurance company. In general, there are two types of reinsurance schemes: proportional reinsurance and non-proportional reinsurance. An insurance company needs to determine its own retention level. If the retention level is not optimal, then the ruin probability is increased. A ruin state may be interpreted as a state where the insurance company is bankrupt or a fall of the company due to huge losses which the company no longer able to handle. In this final project (skripsi), the types of reinsurance schemes which will be discussed are: pure quota-share treaty, which belongs to the type of proportional reinsurance; excess of loss treaty, which belongs to the type of non-proportional reinsurance; and a combination of both for n independent risk. In this final project, the optimal retention level is defined as a retention level which is maximizing the adjustment coefficient in the Lundberg inequality. Optimization method used in this final project is “Dimension n Spiral Optimization” which is one of the metaheuristic methods constructed according to the analogy of spiral phenomenon frequently occurs in nature and approximated to be a logarithmic spiral.