Estimasi Cadangan Klaim Menggunakan Metode Chain Ladder dan Risk Adjustment IFRS 17

Rossana, Farah Athika (2025) Estimasi Cadangan Klaim Menggunakan Metode Chain Ladder dan Risk Adjustment IFRS 17. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

IFRS 17 merupakan standar akuntansi internasional yang mengatur proses pengukuran, pengakuan, dan pelaporan kontrak asuransi dalam laporan keuangan perusahaan asuransi. IFRS 17 memperkenalkan konsep pelaporan laporan keuangan dengan penyesuasian risiko (Risk Adjustment). Risk Adjustment merupakan penyesuaian terhadap nilai sekarang dari arus kas untuk memberikan transparansi mengenai kompensasi yang disyaratkan oleh entitas untuk menanggung ketidakpastian mengenai jumlah dan waktu terjadinya arus kas yang timbul dari risiko non-keuangan. IFRS 17 tidak menetapkan metode spesifik untuk menghitung Risk Adjustment. Namun, pada penelitian ini dilakukan analisa terkait perhitungan cadangan klaim dengan menggunakan metode perhitungan Risk Adjustment, antara lain Value at Risk (VaR), Tail Value at Risk (TVaR), Cost of Capital (CoC), dan Proportional Hazard Transform (PHT). Selain itu, perhitungan cadangan klaim dihitung dengan Metode Mack Chain Ladder dan Boostrap Mack untuk mengukur ketidakpastian dalam estimasi cadangan klaim. Penelitian ini diharapkan dapat mengitung estimasi cadangan klaim dengan penyesuaian risiko (Risk Adjustment) dan dapat membantu perusahaan dalam menentukan metode yang paling sesuai untuk menghitung cadangan klaim dengan Risk Adjustment. Hasil penelitian menunjukkan bahwa estimasi cadangan klaim menggunakan metode Mack Chain Ladder adalah sebesar Rp2.696.574.010, sedangkan dengan metode Bootstrap Mack sebesar Rp2.855.561.320. Analisis Risk Adjustment menunjukkan variasi yang cukup signifikan antar pendekatan. Dengan pendekatan Value at Risk (VaR) 75%, nilai Risk Adjustment pada metode Mack Chain Ladder mencapai Rp360.787.309 atau sebesar 187% dari cadangan klaim, sedangkan pada Bootstrap Mack sebesar Rp153.113.395 atau 21,85%. Pendekatan Tail Value at Risk (TVaR) 75% menghasilkan Risk Adjustment sebesar Rp615.444.482 (220%) untuk Mack Chain Ladder dan Rp1.131.052.260 (183,6%) untuk Bootstrap Mack. Sementara itu, pendekatan Cost of Capital (CoC) memberikan Risk Adjustment tertinggi, yaitu sebesar Rp1.348.238.348 (702%) pada Mack Chain Ladder dan Rp904.824.995 (146,8%) pada Bootstrap Mack. Adapun pendekatan Proportional Hazard Transform (PHT) menghasilkan Risk Adjustment sebesar Rp580.518.498 (302,28%) untuk Mack Chain Ladder dan Rp156.554.467 (25,41%) untuk Bootstrap Mack. Oleh karena itu, pemilihan metode Risk Adjustment yang tepat sangat penting agar nilai cadangan yang ditetapkan dapat mencerminkan risiko secara realistis dan sesuai dengan prinsip kehati-hatian dalam pelaporan keuangan menurut IFRS 17.
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IFRS 17 is an international accounting standard that regulates the measurement, recognition, and reporting processes of insurance contracts in the financial statements of insurance companies. IFRS 17 introduces the concept of financial reporting with Risk Adjustment. Risk Adjustment is an adjustment to the present value of cash flows to provide transparency regarding the compensation required by an entity to bear the uncertainty related to the amount and timing of cash flows arising from non-financial risks. IFRS 17 does not specify a particular method for calculating Risk Adjustment. However, in this research claim reserve calculations using various Risk Adjustment methods, including Value at Risk (VaR), Tail Value at Risk (TVaR), Cost of Capital (CoC), and Proportional Hazard Transform (PHT). Additionally, claim reserve calculations will be conducted using the Mack Chain Ladder Method and Bootstrap Mack Method to measure the uncertainty in claim reserve estimation. This research is expected to estimate claim reserves with Risk Adjustment and assist companies in determining the appropriate method for calculating claim reserves with Risk Adjustment. The results show that the estimated claim reserves using the Mack Chain Ladder method amount to IDR 2,696,574,010, while the Bootstrap Mack method yields IDR 2,855,561,320. The analysis of Risk Adjustment indicates significant variation across different approaches. Using the Value at Risk (VaR) 75% approach, the Risk Adjustment for the Mack Chain Ladder method is IDR 360,787,309, or 187% of the claim reserve, while for the Bootstrap Mack method, it is IDR 153,113,395, or 21.85%. The Tail Value at Risk (TVaR) 75% approach results in a Risk Adjustment of IDR 615,444,482 (220%) for Mack Chain Ladder and IDR 1,131,052,260 (183.6%) for Bootstrap Mack. Meanwhile, the Cost of Capital (CoC) approach provides the highest Risk Adjustment, amounting to IDR 1,348,238,348 (702%) for Mack Chain Ladder and IDR 904,824,995 (146.8%) for Bootstrap Mack. The Proportional Hazard Transform (PHT) approach produces a Risk Adjustment of IDR 580,518,498 (302.28%) for Mack Chain Ladder and IDR 156,554,467 (25.41%) for Bootstrap Mack. Therefore, selecting an appropriate Risk Adjustment method is crucial to ensure that the reserve value realistically reflects the underlying risks and aligns with the prudence principle in financial reporting in accordance with IFRS 17.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Bootstrap Mack, Cadangan Klaim, Chain-Ladder, IFRS 17, Risk Adjustment Bootstrap Mack, Claim Reserves, Chain-Ladder, IFRS17, Risk Adjustment
Subjects:	H Social Sciences > HG Finance > HG8051 Insurance H Social Sciences > HG Finance > HG8054.5 Risk (Insurance) H Social Sciences > HG Finance > HG8771 Life insurance
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Farah Athika Rossana
Date Deposited:	29 Jul 2025 06:12
Last Modified:	29 Jul 2025 06:12
URI:	http://repository.its.ac.id/id/eprint/122818

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