KONTRAK REASURANSI OPTIMAL MENGGUNAKAN JOINT SURVIVAL PROBABILITY DAN JOINT PROFITABLE PROBABILITY

• Main Author: Yohans
• Format: Final Project
• Language: Indonesia
• Subjects: Matematika
• Online Access: https://digilib.itb.ac.id/gdl/view/34211
• Institution: Institut Teknologi Bandung

A reinsurance contract is made to minimize an insurance company's nan- cial risk. In general, a reinsurance contract is made based on one party's in- terest either the insurance or the reinsurance companies. In this nal project (skripsi), the optimization of a reinsurance contract uses the joint survival probability and the joint protable probability of an insurer and a reinsurer to survive or to gain prot from a portfolio. Survival is obtained when the sum of the premium collected and the company's capital is greater than or equal to the total paid claims. This model considers the interests of both the insurers and the reinsurers. There are two types of reinsurance contract dis- cussed in this nal project, they are stop-loss and quota-share; and two types of premium principles used in determining the risk premium, the expected value principle and the variance principle. Using the joint survival probabil- ity and the joint protable probability, an optimal reinsurance retention may be determined. The data used in this nal project is paid (severity) claims data from company XYZ. The data follows a lognormal distribution with mean 6:509 107and variance 8:022 1017. From the analysis carried out on the data, a stop-loss reinsurance contract is better than a quota-share type.