OPTIMISASI KONTRAK REASURANSI EXCESS-OF-LOSS BERDASARKAN PELUANG SURVIVAL DENGAN CONSTRAINT VALUE-AT-RISK DINAMIK

• Main Author: Anastasia, Gabriella
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/49583
• Institution: Institut Teknologi Bandung

Reinsurance is a way for insurance companies to share its risk. If an insurance company reinsures too little or too much risk, the company might experience loss. This final project aims to determine an optimal reinsurance contract and study the survival probability when the value of several variables is changed. The scope of this final project includes: excess-of-loss reinsurance for individual claims; EVP (Expected Value Principle) premium principle; dynamic Value-at-Risk constraint; and optimization based on survival probability. The optimal solution is determined by solving the derived HJB (Hamilton-Jacobi-Bellman) equation. The resulting optimal retention limit and survival probability will then be used, with two probability distributions to model claim amount, to test the relationship between survival probability with: time horizon; constraint confidence level; claim limit; insurance and reinsurance loading factors; and reinsurance type. Calculation results show that optimal retention level is inversely proportional to: time horizon; constraint confidence level; claim limit; and insurance loading factor. The optimal retention level is also directly proportional to reinsurance loading factor. The maximized survival probability is inversely proportional to: time horizon; constraint confidence level; claim limit; and reinsurance loading factor. The maximized survival probability is also directly proportional to insurance loading factor. Excess-of-loss reinsurance has a higher optimal survival probability compared to proportional reinsurance in the four observed test cases.