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All Journal Jurnal Online Mahasiswa (JOM) Bidang Matematika dan Ilmu Pengetahuan Alam Journal of Science and Applicative Technology JTAM (Jurnal Teori dan Aplikasi Matematika) Variance : Journal of Statistics and Its Applications Rengganis Jurnal Pengabdian Masyarakat Enthusiastic : International Journal of Applied Statistics and Data Science Mejuajua Premium: Insurance Business Journal RENATA Jurnal Pengabdian Masyarakat Kita Semua TeknoKreatif: Jurnal Pengabdian kepada Masyarakat
Dila Tirta Julianty
Program Studi Sains Aktuaria, Institut Teknologi Sumatera
Agriculture, Biological Sciences & Forestry Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Languange, Linguistic, Communication & Media Materials Science & Nanotechnology Mathematics Mechanical Engineering Public Health Social Sciences Other

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Comparison of Mack Chain-Ladder and Bootstrap Methods for Claim Reserve Estimation under IFRS 17 in Lampung General Insurance Tiara Yulita; Putri Isnaini Cahyaning Baiti; Dila Tirta Julianty; Ayu Sofia; Dwi Mahrani; M. Naufal Athaatmaja
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 10, No 3 (2026): July
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v10i3.38485

Abstract

Claim  reserves are funds set aside by insurance companies to pay for reported claims (RBNS) as well as claims that have not yet been reported (IBNR), and they are crucial because they directly affect the financial health of the company. In 2024, there were customer complaints in Lampung regarding delays in claim payments by general and life insurance companies. Therefore, this study uses claim data from general insurance companies in Lampung for the period 2013–2024. The novelty of this study lies in comparing the Mack Chain Ladder analytical method and the Bootstrap simulation method for estimating claim reserves within the IFRS 17 framework using regional insurance data from Lampung, which has not been widely explored in previous studies. This study aims to estimate claim reserves and estimate the Liability for Incurred Claims (LIC),The objective of this study is to compare claim reserve values using an analytical approach (Mack Chain-Ladder) and a simulation approach (Bootstrap), implemented in accordance with the International Financial Reporting Standard (IFRS) 17. The IFRS 17 components to be calculated include the Liability for Incurred Claims (LIC) , Best Estimate Liability (BEL), and Risk Adjustment (RA) under IFRS 17. . Accurate estimation of claim reserves and the implementation of IFRS 17 play a vital role in ensuring the sustainability of insurance companies. The Mack Chain-Ladder (MCL) method is used to obtain equations for the expected value and variance of future claims as well as the prediction error rate. Meanwhile, the Bootstrap method generates numerous simulated claim datasets that reflect various possible scenarios. The advantage of the simulation approach is its ability to provide a full predictive distribution, which can be used to estimate the risk adjustment under IFRS 17. The empirical results show that the estimated claim reserve using the Mack Chain-Ladder (MCL) method is 234,740,644, while the Bootstrap method with 5.000 simulations produces a reserve range ofIn addition, this study also discusses methods for calculating capital requirements based on Value at Risk and for estimating risk adjustment using risk measures applied to the simulated distribution of claim liabilities over the contract period. 233,158,004-236,320,156. These results provide empirical insights into claim reserve estimation and support the implementation of IFRS 17 in regional insurance companies by calculating the BEL, RA, and LIC values, whose results are based on the claim reserve calculation .
Black-Scholes Method for Rainfall Index-Based Agricultural Insurance Premiums Lestari, Fuji; Julianty, Dila Tirta; Vikarti, Maulida Magdalena
Enthusiastic : International Journal of Applied Statistics and Data Science Volume 6 Issue 1, April 2026
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/enthusiastic.vol6.iss1.art7

Abstract

Agriculture plays an important role in national economic development. However, it has the highest risk of loss due to its dependence on climate conditions. One of the efforts to reduce the risk of crop failure is through an agricultural insurance program. This study aimed to analyze the value of the rainfall climate index used and the calculation of agricultural insurance premiums based on it. The method used to determine the rainfall climate index was the historical burn analysis method, while the method used to calculate agricultural insurance premiums was the Black-Scholes method. The study showed significant spatial variation in rainfall index-based agricultural insurance premiums across Sumatra. Premiums rose with higher percentiles, with North Sumatra the highest (IDR 3.28–3.55 million) and Aceh the lowest (IDR 100–137 thousand). The inclusion of all rainfall stations revealed a more detailed spatial pattern. Overall, premiums strongly reflect local climatic conditions and can aid risk assessment and insurance planning.
Co-Authors ', Aziskhan Andi Fitriawati Anggi Cinta Tamania Aprilia, Inaya Sathrani Aurelia Stephanie Lo Ayu Sofia Ayu Sofia Baiq Rindang Aprildahani Dwi Mahrani Eka Nur’azmi Yunira Fuji Lestari Hediyati Anisia Sinamo Inayah, Larasati Nurul Indah Gumala Andirasdini Jatmiko Eko Witoyo Johannes Kho Juwana Janu Khafifa , Laili Nur Listiani, Amalia M. Naufal Athaatmaja Mubarika Sekarsari Yusuf Noveliska Br Sembiring Putri Isnaini Cahyaning Baiti Rivai, Muklas Syaira Miranti Untia Ramadhani Valendya Rilansari Vikarti, Maulida Magdalena Yulita, Tiara Yunira, Eka Nur’azmi