Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process

In this paper, the insurance reserve period will be classified according to the claim frequency domain, such as high-or low-frequency periods. We use the clustering method to create and group claims data according to their frequency period. Meanwhile, we use a risk process to mimic and predict the m...

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Main Authors: Effendie, Adhitya Ronnie, Kariyam, Kariyam, Murti, Aisya Nugrafitra, Angsari, Marfelix Fernaldy, Gunardi, Gunardi
Format: Article PeerReviewed
Language:English
Published: Multidisciplinary Digital Publishing Institute (MDPI) 2022
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Online Access:https://repository.ugm.ac.id/283339/1/Classifying-Insurance-Reserve-Period-via-Claim-Frequency-Domain-Using-Hawkes-ProcessRisks.pdf
https://repository.ugm.ac.id/283339/
https://www.mdpi.com/2227-9091/10/11/216
https://doi.org/10.3390/risks10110216
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Institution: Universitas Gadjah Mada
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spelling id-ugm-repo.2833392023-11-20T08:28:55Z https://repository.ugm.ac.id/283339/ Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process Effendie, Adhitya Ronnie Kariyam, Kariyam Murti, Aisya Nugrafitra Angsari, Marfelix Fernaldy Angsari, Marfelix Fernaldy Gunardi, Gunardi Mathematics and Applied Sciences Statistics In this paper, the insurance reserve period will be classified according to the claim frequency domain, such as high-or low-frequency periods. We use the clustering method to create and group claims data according to their frequency period. Meanwhile, we use a risk process to mimic and predict the movement of the reserve from time to time in each group of claim period that is formed. The risk process model used here is the Hawkes process, which is a one-dimensional simple point process and a special type of self-exciting process. Based on this process, we will estimate the reserve at a certain date in the future and the average historical reserve for each group period. Multidisciplinary Digital Publishing Institute (MDPI) 2022-11-14 Article PeerReviewed application/pdf en https://repository.ugm.ac.id/283339/1/Classifying-Insurance-Reserve-Period-via-Claim-Frequency-Domain-Using-Hawkes-ProcessRisks.pdf Effendie, Adhitya Ronnie and Kariyam, Kariyam and Murti, Aisya Nugrafitra and Angsari, Marfelix Fernaldy and Angsari, Marfelix Fernaldy and Gunardi, Gunardi (2022) Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process. Risks, 10 (11). pp. 1-21. ISSN 22279091 https://www.mdpi.com/2227-9091/10/11/216 https://doi.org/10.3390/risks10110216
institution Universitas Gadjah Mada
building UGM Library
continent Asia
country Indonesia
Indonesia
content_provider UGM Library
collection Repository Civitas UGM
language English
topic Mathematics and Applied Sciences
Statistics
spellingShingle Mathematics and Applied Sciences
Statistics
Effendie, Adhitya Ronnie
Kariyam, Kariyam
Murti, Aisya Nugrafitra
Angsari, Marfelix Fernaldy
Angsari, Marfelix Fernaldy
Gunardi, Gunardi
Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process
description In this paper, the insurance reserve period will be classified according to the claim frequency domain, such as high-or low-frequency periods. We use the clustering method to create and group claims data according to their frequency period. Meanwhile, we use a risk process to mimic and predict the movement of the reserve from time to time in each group of claim period that is formed. The risk process model used here is the Hawkes process, which is a one-dimensional simple point process and a special type of self-exciting process. Based on this process, we will estimate the reserve at a certain date in the future and the average historical reserve for each group period.
format Article
PeerReviewed
author Effendie, Adhitya Ronnie
Kariyam, Kariyam
Murti, Aisya Nugrafitra
Angsari, Marfelix Fernaldy
Angsari, Marfelix Fernaldy
Gunardi, Gunardi
author_facet Effendie, Adhitya Ronnie
Kariyam, Kariyam
Murti, Aisya Nugrafitra
Angsari, Marfelix Fernaldy
Angsari, Marfelix Fernaldy
Gunardi, Gunardi
author_sort Effendie, Adhitya Ronnie
title Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process
title_short Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process
title_full Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process
title_fullStr Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process
title_full_unstemmed Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process
title_sort classifying insurance reserve period via claim frequency domain using hawkes process
publisher Multidisciplinary Digital Publishing Institute (MDPI)
publishDate 2022
url https://repository.ugm.ac.id/283339/1/Classifying-Insurance-Reserve-Period-via-Claim-Frequency-Domain-Using-Hawkes-ProcessRisks.pdf
https://repository.ugm.ac.id/283339/
https://www.mdpi.com/2227-9091/10/11/216
https://doi.org/10.3390/risks10110216
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