ESTIMASI TOTAL LOSS MENGGUNAKAN REGRESI BERBASIS COPULA, TOTAL LOSS ESTIMATION USING COPULA BASED REGRESSION

PEBRIANTI, INDAH DWI, Adhitya Ronnie Effendie

2016 | Skripsi | FMIPA

The use of Copula-based regression in this thesis is to produce an estimate of the total loss (loss) experienced a taste of the insurance company that the company claims data. Claims data consist of frequency (number of claims) and severity (average the claims) that occurs in certain time period. Zero Truncated Poisson distribution frequency (ZTP) and severity Gamma distribution. Two models will be merged to become a joint distribution model using the model marginal Copula frequency and severity of marginal models. Marginal models obtained by analysis of Generalized Linear Model (GLM), which GLM ZTP to the frequency and GLM Gamma for severity. In GLM, the dependent variable is affected by two covariates as independent variables. Copula type used is a type of Archimedean Copula that Clayton Copula, Gumbel, and Frank, as well as the type of Elliptical Copula namely Gaussian Copula. Copula model selection method is best to get the corresponding prediction using test Aike Information Criteria (AIC) .Results ofthe case studiesinthis papershow thatthe modelCopulaclaytonhasthe lowestAICvaluethuschosen to bethe best modelwith the results ofa totalloss of30.26billionrupiah.

Kata Kunci : Total loss, Bivariat Copula, Generalized Linear Model, frequency, severity, AIC