UI - Tesis (Open) :: Kembali

UI - Tesis (Open) :: Kembali

Analisis penentuan Risk Based Capital (RBC) dengan pendekatan loss distribulion approach dan extreme value theory ( studi kasus PT. Reasuransi Intemasional Indonesia divisi Syariah ) = Risk Based Capital (RBC) analysis with loss distribution approach and extreme value theory. study on PT Reasuransi Intemational Indonesia, sharia division.

Ridarmelli; Dewi Hanggraeni, supervisor (, 2010)
 Abstrak
[ABSTRAK

Tingkat kesehatnn perusahaan asuransi dan reasuransi ditentukan oleh ratio Risk
Based Capital (RBC). Begitu juga dcngan bisnis reasuransi syariah. Untuk mengukur tingkat kesehatan bisnis asuransi dan reasuransi syariah pemerintah telah menetapkan melalui Keputusan Menteri Keuangan (KMK) nomor 424/KMK.06/2003 tentang kesehatan keuangan perusahaan asuransi dan perusahaan reasuransi. Berdasarkan kepada KMK 424 terscbut perusahaan asuransi dan reasuransi syariah harus mempunyai ratio Risk Based Capital (RBC) minimum sebesar l20%. Penelitian ini membuat rumusan baru dalam penentuan
unexpected loss yang dihitung pada skedul C menurut ketentuan pemerintah dengan menggunakan model Loss Dislriburion Approach (LDA) dan Extreme Value Theory (EVT) yang dilakukan pada klaim-klaim yang terjadi pada PT. Reasuransi Intemasional Indonesia dari tahun 2005 sampai dengan triwulan III tahun 2009 dan estimasi klaim yang akan terjadi dimasa depan.
Penelitian ini bertujuan untuk mengetahui apakah perhitungan dengan model LDA dan EVT dapat memberikan hasil ekspektasi yang lebih baik bagi pemesahaan jika dibandingkan dengan model skedul C sesuai dengan Batas
Tingkat Solvabilitas Minimum (BTSM) yang telah diatur dalam KMK 424 tahun 2003 tersebut.
Hasil perhitungan RBC yang dilakukan dengan cam mengganti skedul C dengan hasil pcrhitungan LDA dan EVT menghasilkan bahwa perhitungan dengan BTSM berada diantara hasil perhitungan LDA dan EVT. Sernuanya mcnghasilkan ratio RBC yang berada di atas ketentuan yang telah ditetapkan oleh regulalor. Dengan melakukan uji Back Yesring diperoleh hasil bahwa model LDA valid untuk
digunakan pada perusahaan, tetapi model EVT tidak valid untuk digunakan.


ABSTRACT

The performance of insurance or reinsurance company is measured by Risk Based Capital ratio (IUSC), and the sharia insurance as well. The Government through the Ministry of Treasury issued the regulation no 424/KMK.06/2003 to measure the soundness of insurance and reinsurance company performance. Based on that
regulation KMK 424 the minimum RBC for insurance and reinsurance company is l20%. This research is conducted to develop a new formulation to determine the
unexpected loss (as mentioned in KMK 424, schedule C) using Loss Distribution Approach (LDA) and Extreme Value Theory (EVT) methods. The data used in this study is all real claim of PT Reasuransi Intemational Indonesia sharia division in
the period of 2005 - third quarter of 2009 and the estimation of future claim. The main objective of this research is to explore whether using the LDA and EVT
methods could produce a better expectation for the company rather than schedule C (as recommended in KMK 424)? The result is RBC that calculated using LDA & EVT methods shows great performance, all above the regulation standard. Back Testing is used to test the validity of the methods, the result: LDA is valid model to
implemented in the insurance or reinsurance company, while EVT is not valid model.;The performance of insurance or reinsurance company is measured by Risk Based Capital ratio (IUSC), and the sharia insurance as well. The Government through the Ministry of Treasury issued the regulation no 424/KMK.06/2003 to measure the soundness of insurance and reinsurance company performance. Based on that
regulation KMK 424 the minimum RBC for insurance and reinsurance company is l20%. This research is conducted to develop a new formulation to determine the
unexpected loss (as mentioned in KMK 424, schedule C) using Loss Distribution Approach (LDA) and Extreme Value Theory (EVT) methods. The data used in this study is all real claim of PT Reasuransi Intemational Indonesia sharia division in
the period of 2005 - third quarter of 2009 and the estimation of future claim. The main objective of this research is to explore whether using the LDA and EVT
methods could produce a better expectation for the company rather than schedule C (as recommended in KMK 424)? The result is RBC that calculated using LDA & EVT methods shows great performance, all above the regulation standard. Back Testing is used to test the validity of the methods, the result: LDA is valid model to
implemented in the insurance or reinsurance company, while EVT is not valid model., The performance of insurance or reinsurance company is measured by Risk Based Capital ratio (IUSC), and the sharia insurance as well. The Government through the Ministry of Treasury issued the regulation no 424/KMK.06/2003 to measure the soundness of insurance and reinsurance company performance. Based on that
regulation KMK 424 the minimum RBC for insurance and reinsurance company is l20%. This research is conducted to develop a new formulation to determine the
unexpected loss (as mentioned in KMK 424, schedule C) using Loss Distribution Approach (LDA) and Extreme Value Theory (EVT) methods. The data used in this study is all real claim of PT Reasuransi Intemational Indonesia sharia division in
the period of 2005 - third quarter of 2009 and the estimation of future claim. The main objective of this research is to explore whether using the LDA and EVT
methods could produce a better expectation for the company rather than schedule C (as recommended in KMK 424)? The result is RBC that calculated using LDA & EVT methods shows great performance, all above the regulation standard. Back Testing is used to test the validity of the methods, the result: LDA is valid model to
implemented in the insurance or reinsurance company, while EVT is not valid model.]
 Metadata
No. Panggil : T33397
Pengarang :
Pengarang/kontributor lain :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2010
Program Studi :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated
Tipe Carrier : volume
Deskripsi Fisik : xiv, 112 pages : illustration ; 30 cm. + Appendix
Catatan Bibliografi :
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
  • Ketersediaan
  • Ulasan
  • Sampul
No. Panggil No. Barkod Ketersediaan
T33397 15-19-828756149 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20341549