SIMULASI PELUANG KEBANGKRUTAN DENGAN PENDEKATAN TRANSLASI GAMMA DAN PREMI KREDIBILITAS (SIMULATION OF RUIN PROBABILITIES WITH TRANSLATED GAMMA APPROXIMATION AND CREDIBILITY PREMIUMS )

HASANAH, PRIMADINA, Adhitya Ronnie Effendie

2016 | Disertasi | FMIPA

The ruin probability is an evaluation on classical risk processes. Ruin occurs when surplus is negative. The ruin probability is applied to evaluate portfolio of insurance company and simulated in continuous and finite time. The premium is changed at the beginning of each year and it is calculated with classical and credibility models. The credibility models are buhlmann and buhlmann straub. A numerical simulation to calculate ruin probability is applied on real data of insurance claims. The premium rate is estimated based on data. It is then followed by calculating surplus of the insurance process at the end of each year. The within year ruin probability is calculated with translated gamma distribution approximation, as an approximation to aggregate claims distribution, given surplus at the beginning and at the end of the year. The ruin probability with classical premium is then compared with credibility premium.

Kata Kunci : ruin probability, classical risk process, translated gamma distribution approximation, Buhlmann and Buhlmann Straub credibility models, aggregate claims