Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Mandalika Mathematics and Educations Journal
Putri Isnaini Cahyaning Baiti
Program Studi Sains Aktuaria, Fakultas Sains, Institut Teknologi Sumatera
Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Estimasi Premi Reasuransi Menggunakan Teori Nilai Ekstrem dengan Penyesuaian Keterlambatan Pembayaran Klaim Putri Isnaini Cahyaning Baiti; Tiara Yulita; Aldila Nur Indah Berliana Ratam; Marisa
Mandalika Mathematics and Educations Journal Vol 8 No 3 (2026): Edisi September
Publisher : FKIP Universitas Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29303/jm.v8i3.12874

Abstract

Extreme losses play an important role in reinsurance pricing, particularly for excess-of-loss contracts where classical parametric models often fail to adequately capture tail risk. Extreme Value Theory (EVT) provides a theoretically justified framework for modeling heavy-tailed insurance losses; however, most existing studies focus mainly on claim severity and ignore operational characteristics such as claim payment delay. This study proposes an EVT-based reinsurance premium estimation framework that incorporates claim payment delay as a risk modifier. Using a peaks over threshold approach, exceedances above a high threshold are modeled by the Generalized Pareto Distribution, and tail-based reinsurance premiums are derived under the net premium principle. An empirical application using claim data shows that claim severity exhibits heavy-tailed behavior and that EVT provides an adequate fit to extreme losses. Furthermore, incorporating payment delay leads to systematically higher estimated reinsurance premiums, indicating the importance of considering settlement dynamics in pricing. The proposed framework provides a practical extension of EVT-based reinsurance premium estimation by integrating tail risk and operational risk in a unified approach.
Co-Authors Aldila Nur Indah Berliana Ratam Marisa Marisa Tiara Yulita