Jurnal Gaussian
Vol 9, No 4 (2020): Jurnal Gaussian

ESTIMASI CADANGAN KLAIM MENGGUNAKAN GENERALIZED LINEAR MODEL (GLM) DAN COPULA

Yuciana Wilandari (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Sri Haryatmi Kartiko (Departemen Matematika, FMIPA, Universitas Gadjah Mada)
Adhitya Ronnie Effendie (Departemen Matematika, FMIPA, Universitas Gadjah Mada)



Article Info

Publish Date
08 Dec 2020

Abstract

In the articles of this will be discussed regarding the estimated reserves of the claim using the Generalized Linear Model (GLM) and Copula. Copula is a pair function distribution marginal becomes a function of distribution of multivariate. The use of copula regression in this article is to produce estimated reserves of claims. Generalized Linear Model (GLM) used as a marginal model for several lines of business. In research it is used three kinds of line of business that is individual, corporate and professional. The copula used is the Archimedean type of copula, namely Clayton and Gumbel copula. The best copula selection method is done using Akaike Information Criteria (AIC). Maximum Likelihood Estimation (MLE) is used to estimate copula parameters. The copula model used is the Clayton copula as the best copula. The parameter estimation results are used to obtain the estimated reserve value of the claim.

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Journal Info

Abbrev

gaussian

Publisher

Subject

Other

Description

Jurnal Gaussian terbit 4 (empat) kali dalam setahun setiap kali periode wisuda. Jurnal ini memuat tulisan ilmiah tentang hasil-hasil penelitian, kajian ilmiah, analisis dan pemecahan permasalahan yang berkaitan dengan Statistika yang berasal dari skripsi mahasiswa S1 Departemen Statistika FSM ...