Kerugian f{X} E{Xi} (Xi - E{X})2

(Xi)
(1) (2) (3)=(1)x(2) (4)=[(1)-E{X}]2
10 0.0003 0.003 1,600.08
20 0.0064 0.128 900.06
30 0.0512 1.536 400.04
40 0.2048 8.192 100.02
50 0.4096 20.480 0.00
60 0.3277 19.662 99.98
210 50.00 3,100.18

Berdasarkan tabel diatas, dari 6 objek resiko dalam satu pool, Total Kerugian = ΣXi = 210 ; Kerugian ya
dan varian = var{X} = 79,97 ; Standar Deviasi = 8,94 ; Covarian = cv{Xi} = 0.18
 E{(Xi - E{X})2} standar cv{Xi}
deviasi
(5)=(4)*(2) (6)=(5)1/2 (7)=(6)/E{
0.48 0.69 Xi }
230.95
5.76 2.40 18.75
20.48 4.53 2.95
20.48 4.53 0.55
0.00 0.00 0.00
32.76 5.72 0.29
79.97 8.94 0.18

gian = ΣXi = 210 ; Kerugian yang diharapkan (Ekspektasi) = E{X} = 50

.18
 JML PP
JML KLAIM DIOBSERVASI E{Xi} (Xi - E{X})2
(Xi) f{X}
(1) (2) (3)=(1) x (2) (4)=[(1)-0,123]^2

0 88,585 0 0
1 10,577 10,577 1
2 779 1,558 4
3 54 162 8
4 4 16 15
5 1 5 24
6 0 0 35
100,000 12,318 86
TOTAL
Mean = E{X} = 0.123 Varian =

DISTRIBUSI POISSON
Pr{x} = e-qqx
x!

Exponensial = e= 2.71828
Mean = E{X} = q= 0.123
e-q = 0.88426
Jml Pemegang Polis = n= 100,000
JML KLAIM
(X) qx e-q . qx x!
(1) (2) (3) = (2) x e-q (4)

0 1.00000 0.88426 1
1 0.12300 0.10876 1
2 0.01513 0.01338 2
3 0.00186 0.00164 6
4 0.00023 0.00020 24
5 0.00003 0.00003 120
6 0.00000 0.00000 720
TOTAL
JML KLAIM POISSON NEGATIF BINOMIAL JML OBSERVASI
(X) JML PENCOCOKAN JML PENCOCOKAN

0 88,426 88,597 88,585

1 10,876 10,544 10,577
2 669 806 779
3 27 50 54
4 1 3 4
5 0 0 1
6 0 0 0
TOTAL 100,000 100,000 100,000
E{(Xi - E{X})}

(5)=(4) x (2)

1,340
8,135
2,745
447
60
24
0
12,751
0.128

e−q q x JML JML OBSERVASI SELISIH

Pr {x }= PENCOCOKAN
x!
(5) = (3)/(4) (6) = (5) x n (7) (8) = (6) - (7)

0.88426 88,426 88,585 (159)

0.10876 10,876 10,577 299
0.00669 669 779 (110)
0.00027 27 54 (27)
0.00001 1 4 (3)
0.00000 0 1 (1)
0.00000 0 0 0
1.00000 100,000 100,000 0
 SELISIH SELISIH
POISSON BINOMIAL Motor claim
300000
(159) 12
299 (33) 250000
(110) 27
(27) (4) 200000
(3) (1)
150000
(1) (1)
0 0 100000
0 0
50000

0
1 2 3 4
 Motor claim frequency distribution

3 4 5 6 7 8 9
8 9
 Size Range Number of Claim Average Size
(1) (2) (3)
1 < $500 804 120
2 $500 - $999 67 680
3 $1,000 - $4,999 82 2,130
4 $5,000 - $9,999 13 6,360
5 $10,000 - $49,999 27 24,000
6 $50,000 - $99,999 6 67,500
7 > $100,000 1 160,000
Total 1,000 260,790

Size Range Number of Claim Average Size

(1) (2) (3)
1 < $500 24 120
2 $500 - $999 2 680
3 $1,000 - $4,999 2 2,130
4 $5,000 - $9,999 1 6,360
5 > $10.000 1 35,680
Total 30 44,970

STATISTIC BASIC PORTFOLIO SMALLER PORTFOLIO

MEAN 1,612 1,685
VARIANCE ( x 10^6) 66.83 41.30
STANDARD DEVIATION 8,175 6,426

Size Range Number of Claim Average Size

(1) (2) (3)
1 < $500 804 120
2 $500 - $999 67 680
3 $1,000 - $4,999 82 4,081
4 $5,000 - $9,999 13 6,360
 5 $10,000 - $49,999 27 24,000
6 $50,000 - $99,999 6 67,500
7 > $100,000 1 160,000
Total 1,000 262,741

PENAMBAHAN Pada range 1.000 -4.999 82 2,130

KLAIM 160.000 Jumlah Klaim 0 0
82 4,081

STATISTIC BASIC PORTFOLIO ADJUSTED PORTFOLIO

MEAN 1,612 1,772
VARIANCE ( x 10^6) 66.83 67.28
STANDARD DEVIATION 8,175 8,203
Cost OF Claim f{X} (Xi) E{Xi} (Xi - E{X})2
(4) = (2) x (3) (5) = (2) / n (6) = (3) (7) = (5) x (6) (8)=((6)-E{X})^2
96,480 0.804 120 96 2,227,198
45,560 0.067 680 46 869,332
174,660 0.082 2,130 175 267,930
82,680 0.013 6,360 83 22,539,896
648,000 0.027 24,000 648 501,205,529
405,000 0.006 67,500 405 4,341,178,469
160,000 0.001 160,000 160 25,086,638,169
1,612,380 1.000 1,612 29,954,926,524
Mean

Cost OF Claim f{X} (Xi) E{Xi} (Xi - E{X})2

(4) = (2) x (3) (5) = (2) / n (6) = (3) (7) = (5) x (6) (8)=((6)-E{X})^2
2,880 0.800 120 96 2,227,198
1,360 0.067 680 45 869,332
4,260 0.067 2,130 142 267,930
6,360 0.033 6,360 212 22,539,896
35,680 0.033 35,680 1,189 1,160,602,732
50,540 1.000 1,685 1,186,507,089
Mean

% INCREASE
4.5%
-38.2%
-21.4%

f{X} (Xi) E{Xi} (Xi - E{X})2

Cost OF Claim
(4) = (2) x (3) (5) = (2) / n (6) = (3) (7) = (5) x (6) (8)=((6)-E{X})^2
96,480 0.804 120 96 2,730,360
45,560 0.067 680 46 1,193,294
174,660 0.082 4,081 335 5,330,740
82,680 0.013 6,360 83 21,046,257
 648,000 0.027 24,000 648 494,067,091
405,000 0.006 67,500 405 4,320,120,031
160,000 0.001 160,000 160 25,035,979,731
1,612,380 1 1,772 29,880,467,503

174,660
160,000
334,660

% INCREASE
9.9%
0.7%
0.3%
 E{(Xi - SD
(9)E{X})}
=()5) x (8) (10) = (9)^0.5
1,790,667 1,338
58,245 241
21,970 148
293,019 541
13,532,549 3,679
26,047,071 5,104
25,086,638 5,009
66,830,160 8,175
Varian Standar Deviasi

E{(Xi - SD
(9)E{X})}
=()5) x (8) (10) = (9)^0.5
1,781,758 1,335
57,955 241
17,862 134
751,330 867
38,686,758 6,220
41,295,664 6,426
Varian Standar Deviasi

E{(Xi - standar
E{X})} deviasi
(9) =()5) x (8) (10) = (9)^0.5
2,195,209 1,482
79,951 283
437,121 661
273,601 523
13,339,811 3,652
25,920,720 5,091
25,035,980 5,004
67,282,393 8,203
 INDIVIDUAL CLAIM PROBABILITIES COMPOUN
POLICY A POLICY B COST OF CLAIM
CLAIM PROBABILITY CLAIM PROBABILITY A + B
(1) (2) (3) (4) (5) (6)
0 0
0 0.7 0 0.8 0 100
1,000 0.2 100 0.15 0 1,000
10,000 0.1 1,000 0.04 0 10,000
10,000 0.01 1,000 0
1,000 100
1,000 1,000
1,000 10,000
10,000 0
10,000 100
10,000 1,000
10,000 10,000

CONTOH
 COMPOUNDED PROBABILITIES COMPOUND DISTRIBUTION
COST OF CLAIM PROBABILITY TOTAL COST OF CLAIM PROBABILITY
= TOTAL A X B = TOTAL
(7)=(5)+(6) (8) (9) (10)=(8)x(9) (11)=(7) (12)=(10)
0 0.70 0.80 0.560 0 0.560
100 0.70 0.15 0.105 100 0.105
1,000 0.70 0.04 0.028 1,000 0.028
10,000 0.70 0.01 0.007 10,000 0.007
1,000 0.20 0.80 0.160 1,000 0.160
1,100 0.20 0.15 0.030 1,100 0.030
2,000 0.20 0.04 0.008 2,000 0.008
11,000 0.20 0.01 0.002 11,000 0.002
10,000 0.10 0.80 0.080 10,000 0.080
10,100 0.10 0.15 0.015 10,100 0.015
11,000 0.10 0.04 0.004 11,000 0.004
20,000 0.10 0.01 0.001 20,000 0.001
STRIBUTION
CUMMULATIVE
PROBABOLITY
(13) =(12) + (12)i
0.560
0.665
0.693
0.700
0.860
0.890
0.898
0.900
0.980
0.995
0.999
1.000
UANG LOGAM DILEMPAR 2 x
SETIAP UANG LOGAM DILEMPAR KELUAR GARUDA (G),MAKA DADU DILEMPARKAN SEHINGGA MUNCUL MATA DADU
Uang Logam Punya 2 muka (Garuda = G; Bunga = B)
Dilempar 2 kali
Kemungkinan yang keluar = GG ; GB ; BG ; BB
lemparan pertama, kemungkinan keluar G =1/2 dan kemungkinan tidak keluar G =1/2; kemungkinan keluar B = 1/2 dan kem
lemparan pertama, kemungkinan keluar G =1/2 dan kemungkinan tidak keluar G =1/2; kemungkinan keluar B = 1/2 dan kem
Dari dua lemparan, kemungkinan keluar GG = 1/2 x 1/2 = 1/4 , ==> Kemungkinan G keluar 2 kali (jumlah G =2) = 1/4
Dari dua lemparan, kemungkinan keluar GB = 1/2 x 1/2 = 1/4
Dari dua lemparan, kemungkinan keluar BG = 1/2 x 1/2 = 1/4 ==> Kemungkinan G keluar sekali (jumlah G = 1) = 1/4 + 1/4 = 1
Dari dua lemparan, kemungkinan tidak keluar G = 1/2 x 1/2 =1/4 ==> Kemungkinan G tidak keluar (jumlah G = 0) = 1/4

Dadu punya 6 mata dadu

setiap kali dilempar, kemungkinan mata dadu muncul = 1/6

MATA DADU 1 2 3 4 5
1 2 3 4 5 6
2 3 4 5 6 7
3 4 5 6 7 8
4 5 6 7 8 9
5 6 7 8 9 10
6 7 8 9 10 11

Bila setiap Mata Uang Logam dilempar (dilempar 2 kali) keluar Garuda (G), lalu dilemparkan dadu
Bagaimana menentukan distribusi dari jumlah mata dadu yang muncul dari lemparan dadu tsb?
g(y)= Probability bahwa jumlah mata dadu yang muncul dari lemparan dadu tepat sama
G(y)= Probability bahwa jumlah mata dadu yang muncul dari lemparan dadu kurang dari

JML MATA DADU BANYAKNYA GARUDA YANG MUNCUL (G)

YANG MUNCUL (y) Nol (0) Satu (1) Dua (2)
0 1/4 0.25000 0 0.00000 0
1 0 0.00000 1/2 x 1/6 0.08333 0
2 0 0.00000 1/2 x 1/6 0.08333 1/4 x 1/36
3 0 0.00000 1/2 x 1/6 0.08333 1/4 x 2/36
4 0 0.00000 1/2 x 1/6 0.08333 1/4 x 3/36
5 0 0.00000 1/2 x 1/6 0.08333 1/4 x 4/36
6 0 0.00000 1/2 x 1/6 0.08333 1/4 x 5/36
7 0 0.00000 0 0.00000 1/4 x 6/36
8 0 0.00000 0 0.00000 1/4 x 5/36
 9 0 0.00000 0 0.00000 1/4 x 4/36
10 0 0.00000 0 0.00000 1/4 x 3/36
11 0 0.00000 0 0.00000 1/4 x 2/36
12 0 0.00000 0 0.00000 1/4 x 1/36
GGA MUNCUL MATA DADU

mungkinan keluar B = 1/2 dan kemungkinan tidak keluar B = 1/2

mungkinan keluar B = 1/2 dan kemungkinan tidak keluar B = 1/2
2 kali (jumlah G =2) = 1/4

kali (jumlah G = 1) = 1/4 + 1/4 = 1/2

keluar (jumlah G = 0) = 1/4

6 JML MATA DADU

7 YANG MUNCUL (y) P (mata dadu muncul =y)
8 2 1/36 0.02778
9 3 2/36 0.05556
10 4 3/36 0.08333
11 5 4/36 0.11111
12 6 5/36 0.13889
7 6/36 0.16667
8 5/36 0.13889
9 4/36 0.11111
10 3/36 0.08333
11 2/36 0.05556
12 1/36 0.02778

dilemparkan dadu
paran dadu tsb?
ul dari lemparan dadu tepat sama dengan y
l dari lemparan dadu kurang dari atau tepat sama dengan y

CUL (G)
g(y) G(y)

0.00000 1/4 0.25000 36/144 0.250000

0.00000 1/12 0.08333 48/144 0.333333
0.00694 13/144 0.09028 61/144 0.423611
0.01389 14/144 0.09722 75/144 0.520833
0.02083 15/144 0.10417 90/144 0.625000
0.02778 16/144 0.11111 106/144 0.736111
0.03472 17/144 0.11806 123/144 0.854167
0.04167 6/144 0.04167 129/144 0.895833
0.03472 5/144 0.03472 134/144 0.930556
0.02778 4/144 0.02778 138/144 0.958333
0.02083 3/144 0.02083 141/144 0.979167
0.01389 2/144 0.01389 143/144 0.993056
0.00694 1/144 0.00694 144/144 1.000000
Risk
CLAIM SIZE DISTRIBUTION
Claim Size range ($) Mean Cost in Range
(1) (2)
0 – 100 79
100 - 250 194
250 - 500 390
500 - 1.000 759
1.000 – 2.500 1,696
2.500 – 5.000 3,571
5.000 - 10.000 6,930
10.000 – 25.000 14,448
25.000 – 50.000 32,644
50.000 - 100.000 63,587
Lebih dari 100.000 130,151

Dengan asumsi bahwa the number of claim adalah variabel poisson, tiga momen dari total cla
U= 100,000
n= 100
μ=nm= 100 x 4.159,03 =

μ2 =nα 2= 100 x 43.030.635,31 =

μ3 =nα 3 = 100 x 1.098.085.302.714,40 =

μ3
γ 1= = 109.808.530.271.740/(4.303.063.531)3/2 =
μ 3/
2
2

γ 1 ( z2ε −1 )
RUMUS BESARNYA INITIAL RESERVE U =( z ε + ) √ nα 2 −λ nm
6
Dengan memasukkan z0,01 = 2,33 (dari tabel Distribusi normal)

0, 3890(2, 332 −1 )
100 .000=(2,33+ ) √ 4 . 303. 063 . 531−415 . 903 λ
6

100 .000=2, 62 x 65 . 598−415 . 903 λ

λ=71.900/415.900
λ=0, 173
 λ=0, 173
Artinya, untuk mereduksi 1% probability insolvency dalam setahun, diperlukan tambahan loading 17,
ON
Proportion of Claim in Range Momen (m) Momen II (2) Momen III (3)
(3) (4) = (2) x (3) (5) = (2)^2 x (3) (6) = (2)^3 x (3)
0.05% 0.04 3.12 246.52
0.83% 1.61 312.38 60,601.49
3.88% 15.13 5,901.48 2,301,577.20
11.99% 91.00 69,072.11 52,425,732.93
32.27% 547.30 928,219.44 1,574,260,175.67
26.16% 934.17 3,335,933.93 11,912,620,048.32
16.52% 1,144.84 7,933,713.48 54,980,634,416.40
7.30% 1,054.70 15,238,363.39 220,163,874,287.62
0.88% 287.27 9,377,550.48 306,120,757,764.66
0.11% 69.95 4,447,637.23 282,811,908,283.30
0.01% 13.02 1,693,928.28 220,466,459,583.30
1.00 4,159.03 43,030,635.31 1,098,085,302,717.40

poisson, tiga momen dari total claim cost distribution:

415,903

4,303,063,531

109,808,530,271,740

0.3890

2
1 ( z ε −1 )
) √ nα 2 −λ nm
6

63 . 531−415 . 903 λ
un, diperlukan tambahan loading 17,5% pada tarip premi
 INCOME AND EXPENDITURE ($000)
Written Premiums (P') 100,000
Earend Premiums (EP) 95,000
Investment Earnings (I) 20,000
Claim Payments (C) 65,000
Commission (E1) 15,000
Management expenses (E2) 13,000

ASSETS AND PROVISIONS AT START ($000) AT END ($000)

Shareholders' Funds (SF) 25,000 30,000
Unearned Premium (UP) 35,000 40,000
Outstanding Claim (OC) 95,000 110,000
Net Assets (NA) 155,000 180,000

FORMULA RATE OF INTEREST

2I ( F0 + F1 )i
i= I=
( F 0 + F1 −I ) ( 2+i)
Rate of Interest earned on Net Assets

2I
i= = 0.12698
( NA 0 + NA 1−I )

($000)
Unearned Premium Interest (UPI)

( UP0 +UP 1 ) x 0, 12698 4,478

=
( 2+0, 12698 )

Outstanding Claim Interest (OCI)

( OC 0 + OC 1 ) x 0,12698
= 12,239
(2+ 0,12698 )
Shareholder's Fund Interest (SFI)

( SF 0 +SF 1 ) x 0, 12698
= 3,284
( 2+ 0, 12698)

PROFIT CALCULATION ($000)

a. Earned Premium 95,000
b. Interest on Unearned Premium 4,478
c. Incurred Claim (C + OC1 -OC0 -OCI) 67,761
d. Expenses (E1 +E2) 28,000
e. Insurance Profit (a + b - c -d) 3,716
f. Interest on Shareholder' Fund 3,284
g. Total Profit (e +f) - before tax 7,000

RATE OF TOTAL PROFIT

2 xPROFIT
g= = 0.29167
( SF 0 +SF 1−PROFIT )

ACTUARIAL INCURRED LOSS RATIO (ℓ)

INCURRED CLAIM
ℓ= = 0.68117
EP+UPI

Bila h = 50% dan s = 20%, serta actual Solvency Margin = 30, maka S = 30/100 = 0,3
==> t = h(S - s) => t = 0,5(0,3 - 0,2) = 0,05
==> k =(g -i)S ==> k = (0,29167 -0,12698)x0,3 = 0,04941

RETENTION

0, 16 xP' (t+k )2
M=
ℓ
 0, 16 xP' (t+k )2 untuk ε = 0,001
M=
ℓ
2
0,16 x100.000(0,05+0,04941) 232.126
M=
0,98117

Excess of loss retention pada perusahaan ini adalah $ 200.000 s.d $ 250.000
/100 = 0,3