Perbandingan Metode Benktander dan Cape Cod Credibility dalam Estimasi Liability for Incurred Claim dan Risk Adjustment Berdasarkan IFRS 17

Sasmitaningrum, Indah Dwi (2026) Perbandingan Metode Benktander dan Cape Cod Credibility dalam Estimasi Liability for Incurred Claim dan Risk Adjustment Berdasarkan IFRS 17. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Internation Financial Reporting Standards 17 (IFRS 17) merupakan pedoman penyusunan laporan keuangan bagi perusahaan asuransi yang diterbitkan oleh International Accounting Standards Board (IASB), untuk menghasilkan laporan keuangan yang transparan dan akurat. Titik berat pembahasan IFRS 17 adalah liabilitas kontrak asuransi dengan salah satu konponennya adalah liability for incurred claim (LIC). LIC merupakan cadangan klaim mencangkup RBNS dan IBNR. Dalam perhitungan LIC, data pada run off triangle harus dimodelkan untuk mendapatkan prediksi cadangan klaim. Prediksi dilakukan dengan menggunakan pendekatan kredibilitas melalui metode Benktander dan cape cod. Hasilnya, berdasarkan visualisasi data prediksi keduanya menunjukkan hasil yang sesuai dengan pola perkembangan klaim. Berdasarkan evaluasi model menggunakan MSE dan RMSE didapatkan bahwa metode cape cod lebih baik dilihat dari nilai RMSE sebesar 238,1884 dibandingkan metode Benktander dengan nilai RMSE 580,4708. Selanjutnya, didapatkan nilai best estimate liability (BEL) sebesar 455970,8 dengan metode Benktander, dan sebesar 469718,2 dengan metode cape cod. Perhitungan risk adjustment (RA) untuk kergugian non finansial dilakukan menggunakan VaR, TVaR, dan proporsional hazards transform (PHT). Digunakan tingkat kepercayaan 70%, 75% dan 80% pada VaR, sehingga didapatkan tingkat kepercayaan approximately equal TVaR 27%, 41% dan 53%. Nilai LIC didapatkan berdasarkan BEL dan RA, sehingga RA dengan TVaR menghasilkan LIC terbesar dan RA dengan PHT menghasilkan LIC terkecil.
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International Financial Reporting Standards 17 (IFRS 17) is a guideline for preparing financial statements for insurance companies issued by the International Accounting Standards Board (IASB), aimed at producing transparent and accurate financial reports. The main focus of IFRS 17 is insurance contract liabilities, one component of which is the Liability for Incurred Claims (LIC). LIC is a claim reserve that includes RBNS and IBNR. In calculating LIC, the data in the run-off triangle must be modeled to obtain claim reserve predictions. The predictions are made using a credibility approach through the Benktander and Cape Cod methods. The results, based on the visualization of the prediction data, show that both methods produce outcomes consistent with the claim development pattern. Based on model evaluation using MSE and RMSE, it was found that the Cape Cod method performs better, as indicated by its RMSE value of 238,1884 compared to the Benktander method with an RMSE of 580,4708. Furthermore, the best estimate liability (BEL) obtained is 455970,8 using the Benktander method, and 469718,2 using the Cape Cod method. The calculation of risk adjustment (RA) for non-financial risk is carried out using VaR, TVaR, and proportional hazards transform (PHT). Confidence levels of 70%, 75%, and 80% are used for VaR, resulting in approximately equivalent TVaR confidence levels of 27%, 41%, and 53%. The LIC value is obtained based on BEL and RA, such that RA using TVaR produces the largest LIC, and RA using PHT produces the smallest LIC.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Benktander, Cadangan Klaim, Cape Cod, LIC, Risk Adjustment Benktander, Claim Reserve, Cape Cod, LIC, Risk Adjustment
Subjects:	Q Science > QA Mathematics > QA275 Theory of errors. Least squares. Including statistical inference. Error analysis (Mathematics) Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Indah Dwi Sasmitaningrum
Date Deposited:	14 Jan 2026 00:52
Last Modified:	14 Jan 2026 00:52
URI:	http://repository.its.ac.id/id/eprint/129572

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