How to cite this paper
Ismail, M., Bon, A., Sukono, S., Effendie, A & Saputra, J. (2024). Investigating the collective value at risk model (CVaR) and its application on real data for life insurance.Decision Science Letters , 12(2), 399-406.
Refrences
Aktas, O., Sjostrand, M. (2011). Cornish-Fisher Expansion and Value-at-Risk Method In Application To Risk management of Large Portfolios, Master's thesis in Financial Mathematics. Halmstad University, September, 2011
Albrecher, H. (2008). Risk Modelling in Insurance. Working Paper. Radon Institute, Austrian Academy of Sciences and University of Linz, Austria. September 3, 2008.
Andersen, T.M. (2010). Collective risk sharing: The social safety net and employment. First and preliminary draft. Working Paper. School of Economics and Management, Aarhus University. November 2010.
Andreas de Vries. (2000). Value-at-Risk. Working Paper. F.H. Sudwestfalen University of Applied Sciences. May 19, 2000.
Bon, A.T., Ismail, M.I.A.B., Sukono, and Effendie, A.R. 2018. Collective Value-at-Risk (ColVaR) In Life Insurance Collection. International Journal of Engineering & Technology, 7(3.7); 25-28. DOI: 10.14419/ijet.v7i3.7.16199. Published on: 04-07-2018.
Bortoluzzo, A. B., Claro, D. P., Caetano, M. A. L., & Artes, R. (2011). Estimating total claim size in the auto insurance industry: a comparison between tweedie and zero-adjusted inverse gaussian distribution. BAR-Brazilian Administration Review, 8(1), 37-47.
Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.C. & Nesbitt, C.J. (1997). Actuarial Mathematics. The Society of Actuaries, Schaumberg, Illinois.
Buckham, D., Wahl, J., Rose, S., (2010). Executive's Guide to Solvency II. Wiley & Sons Business.
Constantinescu, C. (2013). Applications of Probability Theory to Insurance Mathematics. Working Paper. Nankai University, July 8-18, 2013.
Cunningham, R.J., Herzog, T.N. and London, R.L. (2006). Models for Quantifying Risk. Second Edition. Winsted, Connecticut: ACTEX Publishing, Inc.
Dickson, D.C. M., (2016). Insurance Risk and Ruin 2nd Edition. Cambridge University Press.
Dickson, D.C. M., Hardy, M. R., and Waters, H.R., (2013). Actuarial Mathematics for Life Contingent Risks 2nd Edition. Cambridge University Press.
Diers, D., Eling, M.A. , & Linde, M.A. (2012). Modeling Parameter Risk in Premium Risk in Multi-Year Internal Models, Working Papers on Risk Management and Insurance NO. 119, November 2012, pp. 1-25.
Dionne, G. (2013). Risk Management: History, Difinition and Critique, Cirrelt-2013-17, March 2013, pp. 1-22. www.cirrelt.ca.
Djuric, Z. (2013). Collective Risk Model in Non-Life Insurance. Economic Horizons, May - August 2013, Volume 15, Number 2, 167 – 175, UDC: 33 eISSN 2217-9232
Dokov, S., Stoyanov, S.V. & Rachev, S.T. (2007). Computing VaR and AVaR of Skewed-T Distribution, Working Paper, University of Karlsruhe, Germany, https://statistik.ets.kit.edu/download/doc.../skewedTAVaR_Dec11.pdf, diakses 5 Desember 2011.
Dowd, K., & Blake, D. (2006). After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures. CRIS Discussion Paper Series – 2006.II. The University of Nottingham.
Dutang, C., Goulet, V., & Pigeon, M. (2009). Risk Theory Features of Actuarial. Working Paper. Université Claude Bernard Lyon.
Eling, M. (2011). Fitting Insurance Claims to Skewed Distributions: Are the Skew-Normal and Skew-Student Good Models? Working Papers on Risk Management and Insurance, No. 98, November 2011.
Guarda, P., Rouabah, A. & Thea, J. (2012). An MVaR Framework to Capture Extreme Events in Macro-Prudential Stress Tests, Working Paper Series, NO 1464 / AUGUST 2012, pp. 1-46.
Iqbal, M. A. I, Said, M. Z., Sukono, Effendie, A. R, (2013), Collective Modified Value-at-Risk in Life Insurance When the Number and Amount Claims Has Poisson and Lognormal Distributions, Malaysia: SORIC2013
Kahn, P.M. (1992). An Introduction to Collective Risk Theory and Its Application to Stop-Loss Reinsurance. Transactions of Society of Actuaries, 14(1).
Li, M.-Y. (2000). Value-at-Risk for the Reserves of Multi-Product Life Insurance. Working Paper. National Chengchi University.
Magfidar, (2017). Penentuan Premi Asuransi Jiwa Berjangka n-Tahun Unit Link Menggunakan Metode Point To Point. (Doctoral dissertation, Universitas Islam Negeri Sultan Alauddin Makasar)
Mahmoudvand, R. & Edalati, A. (2009). On the Distribution of Discounted Collective Risk Model. Journal of Statistical Resources of Iran, 6, 193-207.
Manganelli, S., & Engle, R.F. (2001). Value-at-Risk Models in Finance. Working Paper No. 75. European Central Bank Working Paper Series, August 2001.
Masci, P. (2011). The History of Insurance: Risk, Uncertainty and Entrepreneurship. University of Rome
Meyers, G. (2008). Stochastic Loss Reserving with the Collective Risk Model. Working Paper. Casualty Actuarial Society E-Forum, Fall 2008.
Naufal, A., Umbara, R. F., & Rohmawati, A. A. (2018). Value-at-risk Berbasis Model Weibull Autoregressive Conditional Amount (waca). eProceedings of Engineering, 5(2).
Nino, S., & Paolo, C.G. (2010). A Collective Risk Model for Claims Reserve Distribution. 29 th International Congress of Actuaries - ICA 2010, Cape Town – March 7-12th 2010, pp. 1-22.
Polanski, A., Stoja, E., & Zhang, R. (2013). Multidimensional risk and risk dependence. Journal of Banking & Finance, 37(8), 3286-3294.
Riaman, R., Supena, Y., Lesmana, E., Sukono, F., & Firdaus, R. (2013, July). Analisis Model Risiko Kolektif Pada Asuransi Jiwa Kredit Menggunakan Model Klaim Agregasi. In Prosiding Seminar Nasional Sains dan Teknologi Nuklir PTNBR–BATAN, 04 Juli 2013 (pp. 634-643).
Sidi, P., Santoso, A., Mustafa, M., Sukono, Subiyanto, & Talib, B.A. (2019). Estimation of Aggregate Claim Risk Model on Insurance for Damage to Buildings Due to Flooding of the Citarum River in Bandung Indonesia. In Proceedings of the International Conference on Industrial on Engineering and Operations Management, Riyadh, Saudi Arabia, November 26-28, 2019.
Sukono, Iqbal M. A. I, Bon A. Talib, Hidayat Y, Supian, S. (2017). Modelling CVaR and CMVaR for Life Insurance With Poisson Distribution of the Claim Number and Logistic Distribution of the Claim Amount. Proceeding of 5th International Conference on Global Optimization and Its Application October 21-22, 2016.
Sukono, Riaman, Lesmana, E., Wulandari, R., Napitupulu, H., & Supian, S. (2018). Model estimation of claim risk and premium for motor vehicle insurance by using Bayesian method. In IOP Conference Series: Materials Science and Engineering (Vol. 300, No. 1, p. 012027). IOP Publishing.
Yates, R. D., & Goodman, D. J. (2014). Probability and stochastic processes: a friendly introduction for electrical and computer engineers. John Wiley & Sons.
Albrecher, H. (2008). Risk Modelling in Insurance. Working Paper. Radon Institute, Austrian Academy of Sciences and University of Linz, Austria. September 3, 2008.
Andersen, T.M. (2010). Collective risk sharing: The social safety net and employment. First and preliminary draft. Working Paper. School of Economics and Management, Aarhus University. November 2010.
Andreas de Vries. (2000). Value-at-Risk. Working Paper. F.H. Sudwestfalen University of Applied Sciences. May 19, 2000.
Bon, A.T., Ismail, M.I.A.B., Sukono, and Effendie, A.R. 2018. Collective Value-at-Risk (ColVaR) In Life Insurance Collection. International Journal of Engineering & Technology, 7(3.7); 25-28. DOI: 10.14419/ijet.v7i3.7.16199. Published on: 04-07-2018.
Bortoluzzo, A. B., Claro, D. P., Caetano, M. A. L., & Artes, R. (2011). Estimating total claim size in the auto insurance industry: a comparison between tweedie and zero-adjusted inverse gaussian distribution. BAR-Brazilian Administration Review, 8(1), 37-47.
Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.C. & Nesbitt, C.J. (1997). Actuarial Mathematics. The Society of Actuaries, Schaumberg, Illinois.
Buckham, D., Wahl, J., Rose, S., (2010). Executive's Guide to Solvency II. Wiley & Sons Business.
Constantinescu, C. (2013). Applications of Probability Theory to Insurance Mathematics. Working Paper. Nankai University, July 8-18, 2013.
Cunningham, R.J., Herzog, T.N. and London, R.L. (2006). Models for Quantifying Risk. Second Edition. Winsted, Connecticut: ACTEX Publishing, Inc.
Dickson, D.C. M., (2016). Insurance Risk and Ruin 2nd Edition. Cambridge University Press.
Dickson, D.C. M., Hardy, M. R., and Waters, H.R., (2013). Actuarial Mathematics for Life Contingent Risks 2nd Edition. Cambridge University Press.
Diers, D., Eling, M.A. , & Linde, M.A. (2012). Modeling Parameter Risk in Premium Risk in Multi-Year Internal Models, Working Papers on Risk Management and Insurance NO. 119, November 2012, pp. 1-25.
Dionne, G. (2013). Risk Management: History, Difinition and Critique, Cirrelt-2013-17, March 2013, pp. 1-22. www.cirrelt.ca.
Djuric, Z. (2013). Collective Risk Model in Non-Life Insurance. Economic Horizons, May - August 2013, Volume 15, Number 2, 167 – 175, UDC: 33 eISSN 2217-9232
Dokov, S., Stoyanov, S.V. & Rachev, S.T. (2007). Computing VaR and AVaR of Skewed-T Distribution, Working Paper, University of Karlsruhe, Germany, https://statistik.ets.kit.edu/download/doc.../skewedTAVaR_Dec11.pdf, diakses 5 Desember 2011.
Dowd, K., & Blake, D. (2006). After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures. CRIS Discussion Paper Series – 2006.II. The University of Nottingham.
Dutang, C., Goulet, V., & Pigeon, M. (2009). Risk Theory Features of Actuarial. Working Paper. Université Claude Bernard Lyon.
Eling, M. (2011). Fitting Insurance Claims to Skewed Distributions: Are the Skew-Normal and Skew-Student Good Models? Working Papers on Risk Management and Insurance, No. 98, November 2011.
Guarda, P., Rouabah, A. & Thea, J. (2012). An MVaR Framework to Capture Extreme Events in Macro-Prudential Stress Tests, Working Paper Series, NO 1464 / AUGUST 2012, pp. 1-46.
Iqbal, M. A. I, Said, M. Z., Sukono, Effendie, A. R, (2013), Collective Modified Value-at-Risk in Life Insurance When the Number and Amount Claims Has Poisson and Lognormal Distributions, Malaysia: SORIC2013
Kahn, P.M. (1992). An Introduction to Collective Risk Theory and Its Application to Stop-Loss Reinsurance. Transactions of Society of Actuaries, 14(1).
Li, M.-Y. (2000). Value-at-Risk for the Reserves of Multi-Product Life Insurance. Working Paper. National Chengchi University.
Magfidar, (2017). Penentuan Premi Asuransi Jiwa Berjangka n-Tahun Unit Link Menggunakan Metode Point To Point. (Doctoral dissertation, Universitas Islam Negeri Sultan Alauddin Makasar)
Mahmoudvand, R. & Edalati, A. (2009). On the Distribution of Discounted Collective Risk Model. Journal of Statistical Resources of Iran, 6, 193-207.
Manganelli, S., & Engle, R.F. (2001). Value-at-Risk Models in Finance. Working Paper No. 75. European Central Bank Working Paper Series, August 2001.
Masci, P. (2011). The History of Insurance: Risk, Uncertainty and Entrepreneurship. University of Rome
Meyers, G. (2008). Stochastic Loss Reserving with the Collective Risk Model. Working Paper. Casualty Actuarial Society E-Forum, Fall 2008.
Naufal, A., Umbara, R. F., & Rohmawati, A. A. (2018). Value-at-risk Berbasis Model Weibull Autoregressive Conditional Amount (waca). eProceedings of Engineering, 5(2).
Nino, S., & Paolo, C.G. (2010). A Collective Risk Model for Claims Reserve Distribution. 29 th International Congress of Actuaries - ICA 2010, Cape Town – March 7-12th 2010, pp. 1-22.
Polanski, A., Stoja, E., & Zhang, R. (2013). Multidimensional risk and risk dependence. Journal of Banking & Finance, 37(8), 3286-3294.
Riaman, R., Supena, Y., Lesmana, E., Sukono, F., & Firdaus, R. (2013, July). Analisis Model Risiko Kolektif Pada Asuransi Jiwa Kredit Menggunakan Model Klaim Agregasi. In Prosiding Seminar Nasional Sains dan Teknologi Nuklir PTNBR–BATAN, 04 Juli 2013 (pp. 634-643).
Sidi, P., Santoso, A., Mustafa, M., Sukono, Subiyanto, & Talib, B.A. (2019). Estimation of Aggregate Claim Risk Model on Insurance for Damage to Buildings Due to Flooding of the Citarum River in Bandung Indonesia. In Proceedings of the International Conference on Industrial on Engineering and Operations Management, Riyadh, Saudi Arabia, November 26-28, 2019.
Sukono, Iqbal M. A. I, Bon A. Talib, Hidayat Y, Supian, S. (2017). Modelling CVaR and CMVaR for Life Insurance With Poisson Distribution of the Claim Number and Logistic Distribution of the Claim Amount. Proceeding of 5th International Conference on Global Optimization and Its Application October 21-22, 2016.
Sukono, Riaman, Lesmana, E., Wulandari, R., Napitupulu, H., & Supian, S. (2018). Model estimation of claim risk and premium for motor vehicle insurance by using Bayesian method. In IOP Conference Series: Materials Science and Engineering (Vol. 300, No. 1, p. 012027). IOP Publishing.
Yates, R. D., & Goodman, D. J. (2014). Probability and stochastic processes: a friendly introduction for electrical and computer engineers. John Wiley & Sons.