Beruflich Dokumente
Kultur Dokumente
Teori kredibilitas menyediakan alat utk menghadapi keacakan data yg digunakan utk memprediksi
future events or costs. Rumus dasar utk menghitung credibility weighted estimates:
𝐸𝑠𝑡𝑖𝑚𝑎𝑡𝑒 = 𝑍 × 𝑂𝑏𝑠𝑒𝑟𝑣𝑎𝑡𝑖𝑜𝑛 + (1 − 𝑍) × 𝑂𝑡ℎ𝑒𝑟 𝑖𝑛𝑓𝑜𝑟𝑚𝑎𝑡𝑖𝑜𝑛, 0 ≤ 𝑍 ≤ 1
dg 𝑍 kredibilitas yg diassign atas observasi.
2: Classical Credibility
Dlm classical credibility, ditentukan terlebih dahulu full credibility criterion / standard for full
credibility, yaitu brp banyak data yg dibutuhkan agar tercapai 100% credibility.
Misal peubah acak claim freq 𝑁 berdist Poisson dengan 𝜇 = 𝜎 2 = 𝑛, maka peluang 𝑁 ada di rentang
±𝑘 adlh
𝑃 = 𝑃(−𝑘√𝑛 ≤ 𝑈 ≤ 𝑘√𝑛) = Φ(𝑘√𝑛) − Φ(−𝑘√𝑛) = 2Φ(𝑘√𝑛) − 1
Jk diberikan 𝑃 dan 𝑘, jml expected claim 𝑛0 yg dibutuhkan shg peluang berada ±𝑘 dr mean adlh 𝑃
adlh
𝒚𝟐 𝟏+𝑷
𝒏𝟎 = 𝟐 , 𝚽(𝒚) =
𝒌 𝟐
Asumsi yg mendasari formula ini adlh:
One is trying to estimate freq
Freq mengikuti Poisson (mean sama dg variance)
Terdpt cukup banyak expected claims shg aprox Normal bs digunakan
Cth alternatif dist lain: Binomial, Negative binomial. More general formula saat Poisson assumption
does not apply:
𝒚𝟐 𝝈𝟐𝒇
𝒏𝟎 = 𝟐 ×
𝒌 𝝁𝒇
Standar full credibility biasa dinyatakan in terms of the expected number of claims. Cth: standard
for full credibility is 1082 claims dan expected claim freq 0.04 klaim per house-year. Maka standard
for full credibility in terms of exposures adlh 1082/0.04=27000 house-years.
∑𝑁
𝑖=1 𝑋𝑖
Loss ratio: 𝐿𝑅 =
𝐸𝑎𝑟𝑛𝑒𝑑 𝑝𝑟𝑒𝑚𝑖𝑢𝑚
𝐿𝑜𝑠𝑠𝑒𝑠 𝐿𝑜𝑠𝑠𝑒𝑠 # 𝐶𝑙𝑎𝑖𝑚𝑠
𝑃𝑢𝑟𝑒 𝑝𝑟𝑒𝑚𝑖𝑢𝑚 = = × =𝑆×𝑓
𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑠 # 𝐶𝑙𝑎𝑖𝑚𝑠 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑠
Process variance: variance of the observed pure premiums for a given risk that occurs due to
random fluctuation. Dg asumsi 𝑆 dan 𝑓 slg bebas,
𝝁𝑷𝑷 = 𝝁𝑺 𝝁𝒇
2
𝜎𝑃𝑃 = 𝐸𝑁 [𝑉𝑎𝑟(𝑃𝑃|𝑁)] + 𝑉𝑎𝑟𝑁 (𝐸𝑃𝑃 [𝑃𝑃|𝑁])
= 𝐸𝑁 [𝑁𝜎𝑆2 ] + 𝑉𝑎𝑟𝑁 (𝜇𝑆 𝑁)
= 𝐸𝑁 [𝑁]𝜎𝑆2 + 𝜇𝑆2 𝑉𝑎𝑟𝑁 (𝑁)
𝝈𝟐𝑷𝑷 = 𝝁𝒇 𝝈𝟐𝑺 + 𝝁𝟐𝑺 𝝈𝟐𝒇
Jk freq berdist Poisson, maka
𝝈𝟐𝑷𝑷 = 𝝁𝒇 (𝝈𝟐𝑺 − 𝝁𝟐𝑺 )
Full credibility for aggregate losses, pure premiums, and loss ratios
Peluang observed pure premium PP di rentang ±𝑘 dari mean 𝜇𝑃𝑃 adlh
𝑘𝜇𝑃𝑃 𝑘𝜇𝑃𝑃
𝑃 = 𝑃(𝜇𝑃𝑃 − 𝑘𝜇𝑃𝑃 ≤ 𝑃𝑃 ≤ 𝜇𝑃𝑃 + 𝑘𝜇𝑃𝑃 ) = 𝑃 (− ≤𝑢≤ )
𝜎𝑃𝑃 𝜎𝑃𝑃
𝑃𝑃−𝜇
dg 𝑢 = 𝜎 𝑃𝑃 approx normal baku.
𝑃𝑃
Misal 𝑓 berdist Poisson dan 𝑛𝐹 expected number of claims yg dibutuhkan utk mencapai full
credibility of the pure premium. Maka dg asumsi 𝑆 dan 𝑓 slg bebas,
𝜇𝑃𝑃 = 𝜇𝑆 𝜇𝑓 = 𝜇𝑆 𝑛𝐹
2
𝜎𝑃𝑃 = 𝜇𝑓 (𝜎𝑆2 − 𝜇𝑆2 ) = 𝑛𝐹 (𝜎𝑆2 − 𝜇𝑆2 )
𝑘𝜇𝑃𝑃 𝑘𝜇𝑆 𝑛𝐹
𝑦= = 1
𝜎𝑃𝑃 2
(𝑛𝐹 (𝜎𝑆2 − 𝜇𝑆2 ))
Shg diperoleh
𝒚 𝟐 𝝈𝑺 𝟐
𝒏𝑭 = ( ) (𝟏 + ( ) ) = 𝒏𝟎 (𝟏 + 𝑪𝑽𝟐𝑺 )
𝒌 𝝁𝑺
Perhatikan pula bahwa
𝒏𝑭 = 𝒏𝟎 (𝟏 + 𝑪𝑽𝟐𝑺 )
= 𝒏𝟎 + 𝒏𝟎 𝑪𝑽𝟐𝑺
= 𝑺𝒕𝒂𝒏𝒅𝒂𝒓𝒅 𝒇𝒐𝒓 𝒇𝒖𝒍𝒍 𝒄𝒓𝒆𝒅𝒊𝒃𝒊𝒍𝒊𝒕𝒚 𝒐𝒇 𝒇 + 𝑺𝒕𝒂𝒏𝒅𝒂𝒓𝒅 𝒇𝒐𝒓 𝒇𝒖𝒍𝒍 𝒄𝒓𝒆𝒅𝒊𝒃𝒊𝒍𝒊𝒕𝒚 𝒐𝒇 𝑺
More general formula:
𝒚 𝟐 𝝈𝟐𝒇 𝝈𝑺 𝟐
𝒏𝑭 = ( ) ( + ( ) )
𝒌 𝝁𝒇 𝝁𝑺
Partial credibility
Misal 𝑛 expected number of claims for the volume of data dan 𝑛𝐹 standard for full credibility, maka
partial credibility yg diassign adlh
𝒏
𝒁 = 𝐦𝐢𝐧 (√ , 𝟏)
𝒏𝑭
Misal akan diestimasi rata” byknya kecelakaan 𝜇 per tahun per driver utk suatu populasi yg
homogen. Utk sampel yg terdiri dr 𝑀 driver, dg 𝑚𝑖 banyaknya kecelakaan dr driver ke-i,
estimatornya adlh
𝑴
𝒎𝒊
𝝁𝑴 = ∑
𝑴
𝒊=𝟏
𝑴 𝑴 𝑴
𝒎𝒊 𝟏 𝟏 𝝁
𝑽𝒂𝒓(𝝁𝑴 ) = 𝝈𝟐𝑴 = 𝑽𝒂𝒓 (∑ ) = 𝟐 ∑ 𝑽𝒂𝒓(𝒎𝒊 ) = 𝟐 ∑ 𝝁 =
𝑴 𝑴 𝑴 𝑴
𝒊=𝟏 𝒊=𝟏 𝒊=𝟏
Jk sampel berukuran 𝑀 tadi diekspektasikan akan menghslkan 𝑛, maka karena 𝑀𝜇 = 𝑛, maka 𝑀 =
𝑛/𝜇, sehingga
2
𝜇2
𝜎𝑀 =
𝑛
Analysis of variance
𝑻𝒐𝒕𝒂𝒍 𝒗𝒂𝒓𝒊𝒂𝒏𝒄𝒆 = 𝑬𝑷𝑽 + 𝑽𝑯𝑴 = 𝑬𝜽 [𝑽𝒂𝒓(𝑿|𝜽)] + 𝑽𝒂𝒓_𝜽(𝑬[𝑿|𝜽])
EPV: expected value of the process variance. VHM: Variance of the hypothetical means.
5: Conjugate Priors
Gamma function and distribution
𝜆𝛼 𝑥 𝛼−1 𝑒 −𝜆𝑥
𝑓(𝑥) = , Γ(𝛼) = (𝛼 − 1)Γ(𝛼 − 1)
Γ(𝛼)
Γ(𝛼) = (𝛼 − 1)!
𝛼 𝛼
𝐸[𝑋] = , 𝑉𝑎𝑟(𝑋) = 2
𝜆 𝜆
Gamma-Poisson model
Poisson dist memodelkan number of claims for an insured with a given claims freq, Gamma dist
memodelkan claim freq within a population of insureds. Gamma disini disebut sbg prior dist.
Poisson dist:
𝜇𝑛 𝑒 −𝜇
𝑃(𝑁 = 𝑛|𝜇) =
𝑛!
𝐸[𝑁] = 𝑉𝑎𝑟(𝑁) = 𝜇
𝜆
Gamma-Poisson mixed dist, dg 𝑝 =
1+𝜆
∞
𝟏 𝝀 𝜶 𝟏 𝒏 𝚪(𝜶 + 𝒏) 𝒏+𝜶−𝟏 𝜶
𝒈(𝒏) = ∫ 𝑷(𝑵 = 𝒏|𝝁)𝒇(𝝁)𝒅𝝁 = ( ) ( ) =( ) 𝒑 (𝟏 − 𝒑)𝒏
𝟎 𝒏! 𝝀 + 𝟏 𝝀+𝟏 𝚪(𝜶) 𝒏
𝜆
yg tak lain adlh Negative Binomial dist dg 𝑘 = 𝛼, 𝑝 = 𝜆+1
𝒏+𝒌−𝟏 𝒌
𝑷(𝑵 = 𝒏) = ( ) 𝒑 (𝟏 − 𝒑)𝒏
𝒏
𝒌(𝟏 − 𝒑) 𝒌(𝟏 − 𝒑)
𝑬[𝑵] = , 𝑽𝒂𝒓(𝑵) =
𝒑 𝒑𝟐
Krn dist posterior dan prior sama” Gamma, maka Gamma disebut sbg conjugate prior dist bagi
Poisson dist.
Multiple years of observation: misal diketahui 𝐶1 dan 𝐶2 . Posterior dist 𝑓(𝜇|𝑛 = 𝐶1) stlh
observation year pertama akan menjadi prior dist at the start of the second observation year. Stlh
observation year kedua, posterior dist adlh Gamma kembali dg 𝛼 ′′ = 𝛼 ′ + 𝐶2 = 𝛼 + 𝐶1 + 𝐶2 dan
𝜆′′ = 𝜆′ + 1 = 𝜆 + 1 + 1. Scr umum, final posterior dist adlh Gamma dg
𝛼̂ = 𝛼 + 𝐶
𝜆̂ = 𝜆 + 𝑌
dg 𝐶 = 𝐶1 + ⋯ + 𝐶𝑌 .
Predictive dist: dist banyaknya klaim dr seorang insured adlh Negative Binomial tetapi dg 𝒌′ =
𝝀+𝒀
𝜶 + 𝑪 dan 𝒑 = 𝝀+𝒀+𝟏.