MODEL STOKASTIK BERDASARKAN TEKNIK CHAIN-LADDER
| Main Authors: | , GALANG YUNAWAN, , Drs. Danardono, MPH, Ph.D. |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2013
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/126573/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=66800 |
Daftar Isi:
- This paper presents a technique based on statistical modeling of chain-ladder technique. This model building process utilizes some assumptions and approaches, both deterministic and stochastic, to determine the estimation of Incurred but Not Reported (IBNR) claim reserves. The model is written in the form of generalized linear models that uses a Poisson distribution for the initial assumption of incremental claim amounts. In addition, this method also could overcome the problems of negative incremental claims by using Verbeek�s algorithm which is Poisson model approach. For insurance companies, this technique provides an alternative to determine accurately claim reserves estimate in the future.