IBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA
IBNR (Incurred But Not Reported) claim is a term used for the claim that has been incurred but still not yet reported. IBNR claim is a part of the claim reserve that OJK regulates. The focus of this report is to estimate the IBNR claim amount using microdata or individual claim data. The method used...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/64977 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | IBNR (Incurred But Not Reported) claim is a term used for the claim that has been incurred but still not yet reported. IBNR claim is a part of the claim reserve that OJK regulates. The focus of this report is to estimate the IBNR claim amount using microdata or individual claim data. The method used in this report is estimating the frequency of IBNR claim using the Sliding Window Technique and performing the EM algorithm for each window, constructing the kernel severity distribution of the claim severity with adjustment to the claim inflation and IBNER factor, and then combining them using Monte Carlo Simulation to estimate the IBNR claim amount. The proposed model will be compared with the Chain Ladder Method. Based on the case study, the best model is achieved by using a monthly period and a half-year range window |
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