Penetapan Harga Premi Pertanggungan Reasuransi Katastrofe di Indonesia Dengan Metode Extreme Value Theory (EVT)

Ariputri, Ridza Whidyaningrum (2018) Penetapan Harga Premi Pertanggungan Reasuransi Katastrofe di Indonesia Dengan Metode Extreme Value Theory (EVT). Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Asuransi jiwa adalah jasa penanggulangan risiko yang memberikan pembayaran kepada pemegang polis terkait manfaat perlindungan jiwa. Risiko yang ditanggung oleh perusahaan asuransi jiwa ini harus diminimalisir, ditahan, atau bahkan dipindahkan. Salah satu yang menjadi fokus khusus risiko yang ditanggung asuransi jiwa adalah risiko atas kejadian katastrofe yang disebabkan oleh bencana alam. Pertanggungan katastrofe melindungi perusahaan asuransi jiwa dari kerugian besar yang terjadi akibat satu atau rangkaian kejadian katastrofe misalnya kecelakaan pesawat, gempa bumi, letusan gunung, ataupun bencana alam lainnya. Tarif premi yang harus dibayarkan oleh perusahaan asuransi diatur secara unik oleh perusahaan reasuransi tergantung pada kejadian katastrofe yang dipertanggungkan. Pada penelitian ini diterapkan metode Extreme Value Theory (EVT) dengan pendekatan Peak Over Threshold (POT) untuk penetapan harga premi pertanggungan reasuransi katastrofe. Dilakukan juga studi simulasi parameter penentuan premi terhadap keuntungan reasuransi. Diperoleh bahwa semakin kecil retensi perusahaan asuransi, semakin besar jumlah maksimal risiko yang ditanggung reasuransi, dan semakin kecil banyaknya korban meninggal akan meningkatkan profit perusahaan reasuransi. ============= Life insurance is a risk mitigation service that provides payments to policyholders regarding life protection benefits. The risks guaranted by these life insurance companies must be minimized, retained, or even transferred. One of the risk become at focus of life insurance is the risk of catastrophic events caused by natural disasters. The events insured by the life insurance company from huge losses incurred by one or a series of catastrophic events such as plane crashes, earthquakes, volcanic eruptions, or other natural disasters. The premium rate paid by the insurance company is uniquely regulated by the reinsurance company depends on the insured catastrophic events. In this research, the Extreme Value Theory (EVT) method with Peak Over Threshold (POT) approach applied to determine the premium price of catastrophe reinsurance. In addition, a simulation study was conducted to know the effect of some insurance criteria to the profit obtained by reinsurance company. It is found that the smaller retention of insurance companies, the greater the maximum amount of risk insured by reinsurance, and the smaller the number of deaths will increase the profit of reinsurance companies.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Asuransi Jiwa; Bencana; EVT; Katastrofe; POT; Reasuransi; Catastrophe; Disaster; Life Insurance; Reinsurance
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG8771 Life insurance
Divisions: Faculty of Mathematics and Science > Statistics > (S1) Undergraduate Theses
Depositing User: Ridza Whidyaningrum Ariputri
Date Deposited: 09 Apr 2018 03:11
Last Modified: 09 Apr 2018 03:11
URI: http://repository.its.ac.id/id/eprint/50658

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