ESTIMATION OF OUTSTANDING CLAIMS LIABILITY AND SENSITIVITY ANALYSIS: PROBABILISTIC TREND FAMILY (PTF) MODEL

Herlambang, Arif and Tampubolon, Dumaria R. (2008) ESTIMATION OF OUTSTANDING CLAIMS LIABILITY AND SENSITIVITY ANALYSIS: PROBABILISTIC TREND FAMILY (PTF) MODEL. In: Proceeding 3rd International Conference oON Mathematics And Statistics (ICoMS-3). Department of Statistics and Department of Mathematics Institut Pertanian Bogor, Bogor, pp. 704-710. ISBN 978-979-19256-0-0

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Abstract

Abstract. Outstanding claims liability is the insurance companies’ corporate responsibility towards future debt. There are a number of existing models used to estimate the outstanding claims liability for long tail business. However, some of the assumptions imposed on these models are not met by the claims data under consideration. Furthermore, trends in the development year and payment year periods are not taken into account by these models. The Probabilistic Trend Family (PTF) model is developed to overcome these problems. In this paper, PTF model is described; and the process of estimating the outstanding claims liability, starting from the preliminary analysis of the claims data to the estimation of the outstanding claims liability is explained. Furthermore, the sensitivity of the obtained estimate of the outstanding claims liability is analyzed using a tool called leverage. Leverage can be used to evaluate the robustness of the model used to estimate the outstanding claims liability. Keywords : Outstanding claims liability, long tail business, development year period, payment year period , probabilistic trend family, sensitivity, leverage.

Item Type: Book Section
Uncontrolled Keywords: Outstanding claims liability, long tail business, development year period, payment year period , probabilistic trend family, sensitivity, leverage.
Subjects: H Social Sciences > HA Statistics
Divisions: Faculty of Business and Economic > Department of Management
Depositing User: Arif Herlambang 61148
Date Deposited: 14 Sep 2015 03:42
Last Modified: 22 Feb 2019 03:54
URI: http://repository.ubaya.ac.id/id/eprint/25445

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