Pemodelan Sharing Losess Dan Solvabilitas Asuransi P2P Dengan Prinsip Syariah Menggunakan Metode Conditional Mean Risk Sharing Dan Mekanisme Qardh Hasan

Wiryawan, Sani (2026) Pemodelan Sharing Losess Dan Solvabilitas Asuransi P2P Dengan Prinsip Syariah Menggunakan Metode Conditional Mean Risk Sharing Dan Mekanisme Qardh Hasan. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Industri asuransi modern terus berinovasi menuju model yang lebih transparan dan efisien, salah satunya melalui asuransi peer-to-peer (P2P) yang secara fundamental sejalan dengan prinsip asuransi syariah, yaitu risk sharing dan mutual aid. Penelitian ini mengembangkan pemodelan aktuaria untuk model broker asuransi P2P dengan mengadopsi elemen model mudarabah asuransi syariah. Penelitian menggunakan dataset asuransi kendaraan partial casco dari perusahaan Wasa di Swedia, yang mencakup kerugian agregat individu dan kelompok risiko berdasarkan rasio EV. Kerugian agregat individu dimodelkan menggunakan keluarga distribusi Tweedie ........ yang dikonversi menjadi Compound Poisson-Gamma untuk menangani data zero-inflated dan heavy-tailed. Risiko kerugian dialokasikan dengan menerapkan konsep Hierarchical Risk Sharing (HRS) dari level pool, grup, hingga individu menggunakan metode Conditional Mean Risk Sharing (CMRS) melalui pendekatan size-biased transform. Retention level dana tabarru’ dihitung berdasarkan metrik risiko Value at Risk (VaR) dan Tail Value at Risk (TVaR) pada confidence level 95% dan 99%. Hasil menunjukkan bahwa CMRS memenuhi sifat actuarial fairness dan Pareto-optimality, serta bersifat comonotonic non-decreasing terhadap total kerugian pool. Selain itu, terdapat trade-off antara solvabilitas dan keuntungan peserta, di mana TVaR menghasilkan retention level yang lebih konservatif dibanding VaR, sehingga menurunkan kebutuhan qardh hasan namun meningkatkan ketidakpastian estimasi kontribusi peserta berdasarkan bootstrap nonparametrik. Trade-off antara cash back dan defisit dana tabarru’ menunjukkan bahwa
meskipun risiko kerugian ekstrem tetap ada, mekanisme qardh hasan terbukti efektif dalam menjaga solvabilitas sistem saat terjadi defisit.
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The modern insurance industry continues to innovate toward more transparent and efficient models, one of which is peer-to-peer (P2P) insurance, which fundamentally aligns with Sharia insurance principles: risk sharing and mutual aid. This study develops an actuarial model for a P2P insurance broker model by adopting elements of the Sharia mudarabah model. The research utilizes a partial casco vehicle insurance dataset from Wasa (Sweden), covering individual aggregate losses and risk groups based on the EV ratio. Individual aggregate losses are modeled using the Tweedie distribution family ........., which is converted into a Compound Poisson-Gamma distribution to handle zero-inflated and heavy-tailed data. Loss risks are allocated by applying the Hierarchical Risk Sharing (HRS) concept from the pool level down to groups and individuals using the Conditional Mean Risk Sharing (CMRS) method via a size-biased transform approach. The retention level of the tabarru’ fund is calculated based on Value at Risk (VaR) and Tail Value at Risk (TVaR) risk metrics at 95% and 99% confidence levels. The results indicate that CMRS satisfies the properties of actuarial fairness and Pareto- optimality and is comonotonic non-decreasing with respect to the total pool losses. Furthermore, there is a trade-off between solvency and participant profit, where TVaR yields a more conservative retention level compared to VaR, thereby reducing the need for qardh hasan but increasing the uncertainty of participant contribution estimates based on nonparametric bootstrapping. The trade-off between cash back and the tabarru’ fund deficit demonstrates that although the risk of extreme losses remains, the qardh hasan mechanism proves effective inmaintaining system solvency during deficits.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Asuransi Peer-to-Peer (P2P), Asuransi Syariah, Conditional Mean Risk Sharing (CMRS), Qardh Hasan, Sharing Losses, Conditional Mean Risk Sharing (CMRS), Peer-to-Peer (P2P) Insurance, Qardh Hasan, Sharia Insurance, Sharing Losses
Subjects:	H Social Sciences > HG Finance > HG8051 Insurance H Social Sciences > HG Finance > HG8054.5 Risk (Insurance) Q Science > QA Mathematics
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Sani Wiryawan
Date Deposited:	14 Jan 2026 05:55
Last Modified:	14 Jan 2026 05:55
URI:	http://repository.its.ac.id/id/eprint/129607

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