AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL

Aggregate riskisoneoftheinterestingstudiesinactuarialmodelling.In particular, thestudyoftheindividualriskdependencyanditseectonthe distribution functionanddensityfunctionofaggregaterisk.Individualrisk dependencymakesusualdicultyinndingtheexactformofdistribution function. CopulaFGMmethodisoneofth...

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Main Author:	Fathiyah Addini, Fida
Format:	Theses
Language:	Indonesia
Online Access:	https://digilib.itb.ac.id/gdl/view/47818
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Institution:	Institut Teknologi Bandung
Language:	Indonesia

id	id-itb.:47818
spelling	id-itb.:478182020-06-22T08:59:08ZAGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL Fathiyah Addini, Fida Indonesia Theses translatedgammaapproximation,FGMCopula,MCVaR,riskallo- cation method,Eulerallocation,proportionalreinsurancemodel. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/47818 Aggregate riskisoneoftheinterestingstudiesinactuarialmodelling.In particular, thestudyoftheindividualriskdependencyanditseectonthe distribution functionanddensityfunctionofaggregaterisk.Individualrisk dependencymakesusualdicultyinndingtheexactformofdistribution function. CopulaFGMmethodisoneofthemethodtodeterminetheaggre- gate riskdistributionfunction.Inaddition,whenindividualrisksarenon- negative,analternativemethodoftranslatedgammaapproximationcanalso beused.Basedontheaggregateriskdistributionfunction,theriskvaluecan bepredictedusingariskmeasure.Value-at-Risk(VaR)anditsextensions, Conditional-VaR(CVaR)andModied-CVaR(MCVaR),areexamplesofrisk measures. Theaccuracyofeachriskmeasurecanbepredictedusingcoverage probability.Inaggregaterisk,theriskmeasureisaectedbyeachindividual risk. Thiseectisanindividualriskcontributiontotheaggregateriskmea- sure. Thecontributionofindividualrisks,whichdependsonthedistribution of eachindividualrisk,canbepredictedusingtheaggregateriskallocation method.Thesumofeachpredictionofindividualriskcontributionequals the aggregateriskmeasure.TheproportionalallocationmethodandtheEu- ler allocationmethodarecommonlyusedmethodsforcalculatingaggregate risk allocation.Furthermore,themagnitudeofrisksharingbetweeninsuran- ce companiesandreinsurancecompaniesinthereinsurancemodellingcanbe seen asanaggregateriskallocation.Sotheaggregateriskallocationmethod is appliedtooneofthereinsurancemodels,theproportional(Quota-Share) reinsurance model. text
institution	Institut Teknologi Bandung
building	Institut Teknologi Bandung Library
continent	Asia
country	Indonesia Indonesia
content_provider	Institut Teknologi Bandung
collection	Digital ITB
language	Indonesia
description	Aggregate riskisoneoftheinterestingstudiesinactuarialmodelling.In particular, thestudyoftheindividualriskdependencyanditseectonthe distribution functionanddensityfunctionofaggregaterisk.Individualrisk dependencymakesusualdicultyinndingtheexactformofdistribution function. CopulaFGMmethodisoneofthemethodtodeterminetheaggre- gate riskdistributionfunction.Inaddition,whenindividualrisksarenon- negative,analternativemethodoftranslatedgammaapproximationcanalso beused.Basedontheaggregateriskdistributionfunction,theriskvaluecan bepredictedusingariskmeasure.Value-at-Risk(VaR)anditsextensions, Conditional-VaR(CVaR)andModied-CVaR(MCVaR),areexamplesofrisk measures. Theaccuracyofeachriskmeasurecanbepredictedusingcoverage probability.Inaggregaterisk,theriskmeasureisaectedbyeachindividual risk. Thiseectisanindividualriskcontributiontotheaggregateriskmea- sure. Thecontributionofindividualrisks,whichdependsonthedistribution of eachindividualrisk,canbepredictedusingtheaggregateriskallocation method.Thesumofeachpredictionofindividualriskcontributionequals the aggregateriskmeasure.TheproportionalallocationmethodandtheEu- ler allocationmethodarecommonlyusedmethodsforcalculatingaggregate risk allocation.Furthermore,themagnitudeofrisksharingbetweeninsuran- ce companiesandreinsurancecompaniesinthereinsurancemodellingcanbe seen asanaggregateriskallocation.Sotheaggregateriskallocationmethod is appliedtooneofthereinsurancemodels,theproportional(Quota-Share) reinsurance model.
format	Theses
author	Fathiyah Addini, Fida
spellingShingle	Fathiyah Addini, Fida AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL
author_facet	Fathiyah Addini, Fida
author_sort	Fathiyah Addini, Fida
title	AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL
title_short	AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL
title_full	AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL
title_fullStr	AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL
title_full_unstemmed	AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL
title_sort	aggregateriskmodel:prediction, accuracy,allocationmethods, and itsapplicationtoproportional reinsurance model
url	https://digilib.itb.ac.id/gdl/view/47818
_version_	1822927756585861120

AGGREGATERISKMODEL:PREDICTION, ACCURACY,ALLOCATIONMETHODS, AND ITSAPPLICATIONTOPROPORTIONAL REINSURANCE MODEL

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