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All Journal Research Report - Engineering Science JURNAL PENGABDIAN KEPADA MASYARAKAT Suska Journal of Mathematics Education Jurnal Matematika Sains dan Teknologi JMPM: Jurnal Matematika dan Pendidikan Matematika BAREKENG: Jurnal Ilmu Matematika dan Terapan Communication in Biomathematical Sciences Creative Research Journal JURNAL SILOGISME : Kajian Ilmu Matematika dan Pembelajarannya MAJAMATH: Jurnal Matematika dan Pendidikan Matematika Jurnal Pelayanan dan Pengabdian Masyarakat (Pamas) Majalah Ilmiah Matematika dan Statistika (MIMS) Bina Ekonomi: Majalah Ilmiah Fakultas Ekonomi Universitas Katolik Parahyangan Pakem : Jurnal Pengabdian Kepada Masyarakat
Benny Yong
Jurusan Matematika, Fakultas Teknologi Informasi Dan Sains Universitas Katolik Parahyangan, Bandung
Agriculture, Biological Sciences & Forestry Arts Humanities Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Mechanical Engineering Physics Public Health Social Sciences Transportation Other

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FLOOD REINSURANCE PREMIUM PRICING BASED ON THE STANDARD DEVIATION PRINCIPLE WITH POT-BASED THRESHOLDS FOR MORTALITY AND PROPERTY DAMAGE RISKS Anggriawan, Vanessa; Permana, Ferry Jaya; Yong, Benny
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 20 No 1 (2026): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol20iss1pp0347-0366

Abstract

Disasters that occur in Indonesia lead to financial loss. One approach to mitigating the financial impact is through the utilization of natural disaster insurance. Although natural disasters occur with a relatively small frequency, the associated losses are substantial. Insurance companies need to carefully consider the characteristics of natural disaster data, as these events can lead to significant claims and potentially result in the bankruptcy of insurance companies. Insurance companies can reduce the risk of bankruptcy by transferring some risk to reinsurance companies. In this paper, the disaster reinsurance premium is determined by considering both the mortality and economic risks using the peaks over threshold (POT) model under the standard deviation principle. The Poisson, generalized Pareto, and lognormal distributions are used to determine the premium, with parameters estimated using the maximum likelihood method. A simulation analysis is conducted using synthetic data generated with RStudio software, which includes the frequency of floods per year over 20 years, as well as the number of deaths and the number of houses damaged in each flood event. The threshold is determined using the percentage method, where 10% of the data is considered extreme values. The POT model is applied to various retention cases. The simulation results show that the risk of the number of damaged houses has a greater impact on the premium amount that the insurance company must pay to the reinsurance company than the risk of the number of deaths. Additionally, cases with retention values below the threshold result in the highest reinsurance premiums, while cases with retention values above the threshold result in the lowest reinsurance premiums. This paper also shows that the reinsurance premium changes almost linearly with the increase in the extreme value percentage. This study is among the first to apply the peaks over threshold model in combination with multiple distributions for reinsurance premium estimation in the Indonesian context. The findings provide new insights into the sensitivity of reinsurance premiums to damage thresholds and retention levels, offering a practical tool for insurers in disaster-prone regions.
Co-Authors Agus Sukmana Ananda Shafira Anggriawan, Vanessa Caesar Stefanus Caesar Stefanus, Caesar Christopher Aryo Pambudi Daniel Salim Dharma Lesmono Elena, Felice Erwinna Chendra Farah Kristiani Ferry Jaya Permana Ferry Jaya Permana Ha, Marlyn Hari, Vincent Hari, Vincent Irawan, Robyn Irawan, Robyn Ivander Jeremy Ivonne Martin Iwan Sugiarto Joan, Karin Johan, Jonathan Prasetyo Jonathan Hoseana Junisha, Vania Kusnadi, Felivia Liem Chin Livia Owen Maria Anestasia Patrick Louis Lucin Putri Efelin Taufik Limansyah Then, Jenisha Vincent Hari Wijaya, Andreas Parama