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ESTIMASI CADANGAN KLAIM MENGGUNAKAN GENERALIZED LINEAR MODEL (GLM) DAN COPULA | Wilandari | Jurnal Gaussian

DOI: https://doi.org/10.14710/j.gauss.v9i4.29260

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

*Yuciana Wilandari  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Sri Haryatmi Kartiko  -  Departemen Matematika, FMIPA, Universitas Gadjah Mada, Indonesia
Adhitya Ronnie Effendie  -  Departemen Matematika, FMIPA, Universitas Gadjah Mada, Indonesia
Open Access Copyright 2020 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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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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Keywords: Claim Reserving; Copula; Generalized Linear Model

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