ANALISIS TARIF ASURANSI KENDARAAN BERMOTOR MENGGUNAKAN ORDINARY GENERALIZED LINEAR MODEL (GLM) YANG TERINTEGRASI DENGAN FAKTOR KREDIBILITAS DALAM BENTUK MODEL COMPOUND POISSON; (TARIFF ANALYSIS OF MOTOR INSURANCE USING INTEGRATED ORDINARY GLM WITH CREDIBILITY IN A COMPOUND POISSON MODEL)

TUTI SARININGSIH BUDI UTAMI, Adhitya Ronnie Effendie

2014 | Disertasi | PROGRAM STUDI S2 MATEMATIKA

Tariff pricing can be determined by making a model from claim data, such as number of claim, claim amount and claim cost. Generalized Linear Model and multiplicative pricing are the examples of the method which is used to make tariff pricing in non life insurance. In multiplicative pricing method, number of claim is determined with Poisson model which is combined with Gamma model with constant CV (coefficient of variation), which is used to determined claim amount. Compound Poisson distribution is assumed for claim cost, the conditional on stochastic credibility parameter. Estimator of variance component within groups and between groups are developed and used, for risk premium as one entity and separately for claim frequency and mean claim. Pseudo-estimator are given for between groups variance component.

Kata Kunci : Non Life Insurance, Generalized Linear Model (GLM), Credibility, Compound Poisson, Pseudo-estimator, Variance Component