Andi Daniah Pahrany, Lita Wulandari Aeli, Utriweni Mukhaiyar
Having insurance could be minimized financial losses. Insurance companies must carry out proper risk management as insurance product providers. The amount of risk or loss experienced by policyholders is the size of the claim. In measuring risk, for the assumption of regular events, a measurement using the Value at Risk (VaR) is generally used. However, the size of claims is sometimes in different conditions or circumstances. There are times when extensive claims with a minor frequency significantly impact the insurance company. Therefore, in this paper, a significant claims analysis will be carried out using extreme value theory. The peaks over threshold (POT) approach is applied to specialize it, and The Generalized Pareto Distribution will be used to model it. The automated Threshold Selection Method will be used to select the threshold based on the distribution of the difference of parameter estimates when the threshold is changed and apply it to published claim severity. The Kolmogorov-Smirnov test will be used to test the threshold. The threshold value obtained is used to measure the risk with the value at risk, which will be used in calculating the reserve for claims. In applying the method, the claim size data is used for asset insurance with occupation code 293 (trading and storage) and occupation 297 (private buildings), which occurred from 20l0-20l6. With a significance level of 0.05, 293 occupation data it is modeled following the GP distribution with the parameters ζ^=1230, σ^=2811×107 and threshold u = 3,745 billion, for 297 occupation data modeled following the GP distribution with the parameter ζ^=0.935, σ^=1,733×107 and threshold u = 913 million. The VaR risk is used to determine the risk value of the claim distribution. As an illustration, the claim reserve scheme is based on the VaR value. © 2024 Author(s).
Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Negeri Malang, Malang, Indonesia; Department of Mathematics, Faculty of Mathematics and Natural Sciences, Lnstitut Teknologi Bandung, Bandung, Indonesia
