PEMODELAN GENERALIZED PARETO UNTUK DATA KLAIM ASURANSI KENDARAAN BERMOTOR DENGAN METODE ESTIMASI TRIMMED-MOMENTS; GENERALIZED PARETO MODELLING FOR AUTOMOBILE DATA CLAIM WITH METHOD OF TRIMMED MOMENTS ESTIMATION

khoiriyah, Hikmatul, Gunardi

2015 | Skripsi | FMIPA

xiv Abstract GENERALIZED PARETO MODELLING FOR AUTOMOBILE DATA CLAIM WITH METHOD OF TRIMMED MOMENTS ESTIMATION Oleh: Himatul Khoiriyah 11/313621/PA/13725 Insurance company in Indonesia grow bigger and bigger everyday, including non-life insurance.The amount of client increasing year by year, so the claim that should be handled by the company also increase. The amount of claim that paid by company is one of loss distribution. Fitting loss distribution can be used to measure the risk that may appear in the future. Value at Risk is one of the method to measure the risk from a lost function. Finance loss distribution usually have a heavy tail, so the distribution that proper to the condition is heavy-tailed distribution, such as Generalized Pareto Distribution (GPD). Fitting distribution using Maximum Likelihood give unclosed form result, so need a numeric solution. Beside that, there is a estimating method that can be used to fitting GPD. The method is Trimmed-Moments.

Kata Kunci : Trimmed-Momentss; Generalized Pareto Distribution; Value at Risk; Fitting Distribution; Loss Distribution; Heeavy-tailed