APPLICATION OF COLLECTIVE RISK MODEL FOR INDONESIA NATURAL DISASTER LOSS RESERVE
This final project applied collective risk model for predicting one-year-ahead Indonesia’s natural disaster loss reserve. Statistical test shows that data follows the assumption of independence and identical distribution between frequency and severity component. Modelling process is carried out s...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/54941 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | This final project applied collective risk model for predicting one-year-ahead
Indonesia’s natural disaster loss reserve. Statistical test shows that data follows
the assumption of independence and identical distribution between frequency and
severity component. Modelling process is carried out separately between frequency
and severity component to obtain more accurate and flexible model. Frequency
component is modelled with two type of model, constant and trend parameter.
Frequency modelling shows that Poisson model with trend parameter fits data the
best. Severity component is modelled with heavy-tailed distribution: Lognormal,
Pareto and Weibull. Severity modelling shows that Lognormal distribution fits data
the best. After modelling frequency and severity, reserve for one year ahead is
estimated by three risk measures: expected value, Value at Risk and Tail Value
at Risk. Expected value is determined by parameters from frequency and severity
model. Value at Risk is estimated by Monte Carlo Simulation with large sample,
because there is no closed form for value at risk and tail value at risk for aggregate
loss distribution. Value at Risk and Tail Value at Risk is estimated for three quantile
level, 90% , 95% and 99%. |
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