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All Journal E-Jurnal Matematika JTAM (Jurnal Teori dan Aplikasi Matematika) Teorema: Teori dan Riset Matematika Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika International Journal of Research in Community Services International Journal of Quantitative Research and Modeling Jurnal Matematika Integratif
Riaman Riaman
Departemen Matematika, Fakultas MIPA, Universitas Padjadjaran
Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Mathematics Mechanical Engineering Physics Social Sciences Transportation Other

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Journal : International Journal of Quantitative Research and Modeling

 1 
Estimation of the Extreme Distribution Model of Economic Losses Due to Outbreaks Using the POT Method with Newton Raphson Iteration Riza Adrian Ibrahim; Sukono Sukono; Riaman Riaman
International Journal of Quantitative Research and Modeling Vol 2, No 1 (2021)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (336.324 KB) | DOI: 10.46336/ijqrm.v2i1.118

Abstract

Extreme distribution is the distribution of a random variable that focuses on determining the probability of small values in the tail areaof the distribution. This distribution is widely used in various fields, one of which is reinsurance. An outbreak catastrophe is non-natural disaster that can pose an extreme risk of economic loss to a country that is exposed to it. To anticipate this risk, the government of a country can insure it to a reinsurance company which is then linkedto bonds in the capital market so that new securities are issued, namely outbreakcatastrophe bonds. In pricing, knowledge of the extreme distribution of economic losses due to outbreak catastrophe is indispensable. Therefore, this study aims to determine the extreme distribution model of economic losses due to outbreak catastrophe whose models will be determined by the approaches and methods of Extreme Value Theory and Peaks Over Threshold, respectively. The threshold value parameter of the model will be estimated by Kurtosis Method, while the other parameters will be estimated with Maximum Likelihood Estimation Method based on Newton-Raphson Iteration. The result of the research obtained is the resulting model of extreme value distribution of economic losses due to outbreak catastrophe that can be used by reinsurance companies as a tool in determining the value of risk in the outbreak catastrophe bonds.
Determining the Price of Fisherman Micro Insurance Premiums Using the Aggregate Risk Model Approach in Cirebon Regency Ratih Kusumadewi; Riaman Riaman; Sukono Sukono
International Journal of Quantitative Research and Modeling Vol 3, No 3 (2022)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v3i3.346

Abstract

Catastrophe such as hurricanes, heavy rains, and similar occurrence pose serious threats and risks to fishermen's livelihoods as well as losses from damage to their assets. Therefore, it is necessary to have special insurance to protect the fishermen's assets from financial losses due to the risks that can occur, namely Fisherman Micro Insurance. Micro-insurance is an insurance product that is intended for low-income people with features and administration that are simple, easy to obtain, economical prices and immediately in the completion of the provision of compensation. Fisherman's micro insurance guarantees assets in the form of fishing equipment in the occurrence of a risk of an accident causing damage, this insurance product protects against worries without a large premium burden. This study aims to calculate the premium price with an aggregate risk model approach. The data used is data on fisherman’s losses if they did not go to sea which obtained by surveys. The occurrence data follows the Poisson distribution, and the loss data follows the Exponential distribution. Parameter Estimation was carried out using the Maximum Likelihood Estimation. The estimation results from numbers of occurrence and the amount of losses are used to estimate the collective risk model. Estimators of the average and variance of the aggregate risk are used to determine the premium. The results of the premium selection in this study amounted to IDR 153.861.958.00. The premium amount is a collective premium which is the result of a calculation based on the standard deviation principle.
Co-Authors AGUS SUPRIATNA Ary Robayani Betty Subartini Devi Ariyanti Dwi Susanti Dwi Susanti Iin Irianingsih kalfin Kalfin Kankan Parmikanti Luki Setiawan MIFTAAHUL JANNAH Nahda Nabiilah Putri Adhira Novalia Radya Pratiwi Serila Ratih Kusumadewi Riza Adrian Ibrahim Sukono . Yeremia Herry Parulian