Sukmayani, Shafarina Putri (2015) Analisis Pengukuran Risiko Menggunakan Generalized Pareto Distribution Pada Klaim Asuransi Jiwa PT. Y. Undergraduate thesis, Institut Technology Sepuluh Nopember.
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Abstract
Terjadinya klaim termasuk kejadian ekstrim yang dapat
menyebabkan timbulnya risiko kerugian bagi perusahaan
asuransi. Salah satu metode untuk mengendalikan risiko yang
akan dialami perusahaan asuransi akibat klaim adalah Extreme
Value Theory. Identifikasi nilai ekstrim pada klaim dilakukan
dengan metode Peaks Over Threshold. Setelah itu, menentukan
estimasi parameter dari Generalized Pareto Distribution
menggunakan Maximum Likelihood Estimation. Untuk
menghitung besar risiko dari klaim asuransi digunakan metode
Tail Value at Risk sehingga diketahui klaim mana yang
memberikan risiko terbesar bagi perusahaan asuransi. Tugas
Akhir ini menggunakan dua jenis klaim asuransi jiwa PT. Y, yaitu
klaim penebusan dan klaim meninggal. Hasil yang diperoleh
dalam Tugas Akhir ini adalah klaim penebusan memberikan
risiko terbesar bagi PT. Y.
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The occurrence of claims, including extreme events, can
cause losses for the insurer. One of the method to control the loss
experienced by the insurer is Extreme Value Theory method.
Identificaton of extreme values using Peaks Over Threshold.
Then, parameter of Generalized Pareto Distribution estimating
using Maximum Likelihood Estimation. The results of the
parameter estimation will be used to calculate the risk of
insurance claims. In order to know which claims that provide the
greatest risk to the insurer, method of Tail Value at Risk is used
to calculate the risk of insurance claims. This final project uses
two types of life insurance claims are early claims and death
claims. The result showed that early claims is the greatest risk to
PT. Y.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 658.155 Suk a |
| Uncontrolled Keywords: | Klaim, Peaks Over Threshold, Generalized Pareto Distribution, Maximum Likelihood Estimation, Tail Value at Risk |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Mr. Tondo Indra Nyata |
| Date Deposited: | 07 Nov 2019 07:14 |
| Last Modified: | 07 Nov 2019 07:14 |
| URI: | http://repository.its.ac.id/id/eprint/71642 |
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