OPTIMAL RISK MEASURE FOR REINSURANCE MODEL
the policyholders if they submit a very large claim. The higher risk that is given to reinsurance companies, the risk of insurance companies is getting smaller, but reinsurance premiums are getting bigger and vice versa. As a result, there is a point where the insured risk minimizes the potential...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/38698 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | the policyholders if they submit a very large claim. The higher risk that is given
to reinsurance companies, the risk of insurance companies is getting smaller, but
reinsurance premiums are getting bigger and vice versa. As a result, there is a point
where the insured risk minimizes the potential losses that the insurance company
will face. Choosing the right reinsurance model for insurance companies can
reduce risk effectively. This Final Project determines the optimal reinsurance model
by minimizing two risk measures, namely Value-At-Risk (VaR) and Tail-Value-at-
Risk (TVaR) in the insurance company total cost model. The reinsurance model
discussed are the proportional reinsurance model (Quota-Share), non-proportional
(Stop-Loss) and combinational of proportional and non-proportional (Change-
Loss) with premium calculation using the expectation premium principle. In this
Final Project, the determination of retention and boundary (deductible) is optimally
implemented in the data on the total claims of ABC health insurance products that
follow the GEV distribution with parameters k = 0; 80799, = 4; 9171 105 and
= 4; 0044 105 and the Weibull distribution with parameters = 0; 62375 and
= 1; 5461 106. |
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