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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id-itb.:649772022-06-18T12:28:15ZIBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA Pramudita Wirawan, Kirana Indonesia Final Project Micro Data, Sliding Window Technique, EM Algorithm, Kernel Distribution, Monte Carlo, Chain Ladder INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/64977 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 text |
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Institut Teknologi Bandung |
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Indonesia Indonesia |
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Indonesia |
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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 |
| format |
Final Project |
| author |
Pramudita Wirawan, Kirana |
| spellingShingle |
Pramudita Wirawan, Kirana IBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA |
| author_facet |
Pramudita Wirawan, Kirana |
| author_sort |
Pramudita Wirawan, Kirana |
| title |
IBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA |
| title_short |
IBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA |
| title_full |
IBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA |
| title_fullStr |
IBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA |
| title_full_unstemmed |
IBNR (INCURRED BUT NOT REPORTED) CLAIM AMOUNT ESTIMATION USING NON-TRADITIONAL STOCHASTIC MODEL BASED ON MICRO DA |
| title_sort |
ibnr (incurred but not reported) claim amount estimation using non-traditional stochastic model based on micro da |
| url |
https://digilib.itb.ac.id/gdl/view/64977 |
| _version_ |
1822932597735424000 |