ANALISIS CADANGAN KLAIM MENGGUNAKAN GENERALIZED LINEAR MODEL DAN HIERARCHICAL GENERALIZED LINEAR MODEL; CLAIMS RESERVING ANALYSIS USING GENERALIZED LINEAR MODEL AND HIERARCHICAL GENERALIZED LINEAR MODEL

Latifah, Lutviarini, Adhitya Ronnie Effendie

2016 | Disertasi | FMIPA

Claims reserving is one of important issues in general insurance. In general insurance, claims are connected to the payment premium-due. When modelling this situation, run-off triangle frameworks can be used. In practice, the most popular statistical method in the claims reserving literature is Chain-Ladder method that works in cumulative run-off triangle frameworks. Chain-Ladder method gives the same reserve as Overdispersed Poisson model, from Generalized Linear Model. In addition, the prediction error of Overdispersed Poisson model is measurable. However, the model assumes that independent data without taking into account the characteristics of the accident period that affect to the prediction error. Overdispersed Poisson-Gamma model from Hierarchical Generalized Linear Model considers the characteristics of accident period that affect claims reserve prediction. In addition, the prediction error value of this model is smaller than the Overdispersed Poisson model.

Kata Kunci : General Insurance, Claims Reserve, Run-off Triangle Data Framework, Generalized Linear Model, Hierarchical Generalized Linear Model, Prediction Error