Pemilihan model kerugian dengan ujian statistik dan aplikasi model dalam insurans

Selecting loss distribution model by using statistical tests should be done to make sure it is accepted and the model selected can be applied in insurance.This study aims to select the best loss distribution model by applying statistical fitting test on seveal fitted Loss distribution model. The loss distribution model represents sample data from motor insurance claims in Malaysia. The model is obtained by using maximum likelihood estimation. The statistical tests used are Pearson: goodness-of fit statistic and Kolmogorov-Smirnov statistic. Based on results from maximum likelihood estimation and statistical tests, a single best model will be selected and the model will be applied in insurance

Insolvency probability in reinsurance treaty: a case study in Malaysia

In developing countries such as Malaysia, the availability of reinsurance arrangements provides several advantages to the primary insurers such as keeping their risk exposures at prudent levels by having their large risk exposures reinsured by another company, meeting client requests for larger insurance coverage by having their limited financial sources supported by another company, and acquiring underwriting skills, experience and ability of handling complex claims by depending on another company for such services. This paper aims to model insurance claims and assess the insolvency probability of reinsurance treaties. Claims data was obtained from one of the leading insurers in Malaysia and R programming with actuar package is used to compute the probability of insolvency.Reinsurance, pricing, insolvency probability, excess-of-loss., Financial Economics, C10, C13,

Corak hilang upaya dalam kalangan pekerja di Malaysia: kajian kes bagi pencarum PERKESO

Kecederaan yang berkait dengan pekerjaan merupakan suatu isu yang perlu diambil berat untuk mengurangkan permasalahan hilang upaya dan kematian di tempat kerja. Pekerja sihat dan berproduktiviti tinggi merupakan salah satu faktor yang penting kepada peningkatan ekonomi sesebuah negara. Kajian ini bertujuan untuk mengenal pasti corak hilang upaya bagi pekerja yang dilindungi Skim Bencana Pekerjaan di bawah Pertubuhan Keselamatan Sosial Malaysia (PERKESO) untuk tahun 2009-2013. Berdasarkan perihalan diskriptif yang diperoleh, sebanyak 80% daripada jumlah keseluruhan pekerja yang mengalami masalah hilang upaya atau kematian di tempat kerja merupakan pekerja lelaki. Selain itu, pekerja yang berumur 25 tahun dan ke atas lebih terdedah kepada kecederaan dan kematian yang berkait dengan pekerjaan. Dapatan kajian ini menunjukkan faktor sosiodemografi seperti jantina dan umur, serta tahap hilang upaya merupakan beberapa faktor penting yang perlu dipertimbangkan dalam mengenal pasti corak hilang upaya dalam kalangan pekerja

A Comparison of Risk Classification Methods for Claim Severity Data

The objective of this article is to compare several risk classification methods for claim severity data by using weighted equation which is written as a weighted difference between the observed and fitted values. The weighted equation will be applied to estimate claim severities which is equivalent to the total claim costs divided by the number of claims

Two-stage DEA method in identifying the exogenous factors of insurers’ risk and investment management efficiency

The objective of this study was to identify the exogenous variables of risk and investment management efficiency by using a two-stage data envelopment analysis (DEA) method. The first stage involves obtaining the efficiency scores of risk and investment management via DEA that requires only the traditional inputs and outputs. In the second stage, the Tobit regression analysis is conducted in which the efficiency score obtained from the first stage is treated as a dependent variable, while the exogenous factors are considered to be independent variables. The exogenous factors consist of operating systems, organizational form, consumer preference and size. The results showed that the mutual company as well as the takaful system demonstrate better risk management performance than their stock and conventional system counterparts. In addition, size is also a significant indicator for risk management efficiency in which the larger insurer/takaful operator exhibits better risk management performance than the smaller one. However, consumer preference is found to be insignificantly correlated with the efficiency of risk management. In contrast, with risk management, organizational form, operating system and size are not indicators of the investment management efficiency, but consumer preference is significantly and positively associated with investment management efficiency

The relative efficiency of investment management of life insurers and takaful operators

The objective of this study is to analyze the efficiency and determinants of investment management among life insurers and takaful operators and, thus be able to describe their investment efficiency and provide information to firms about the things that need to be improved. This study will use slack-based measure- data envelopment analysis (SBM - DEA) to determine the efficiency of investment management and Tobit analysis in identifying the determinants of the investment management efficiency. The result of SBM - DEA shows that the investment management efficiency of insurers and takaful operators was moderate. The heterogeneity of investment management efficiency declined during the study period and this is particularly encouraging because it shows that the insurers and takaful operators are converging towards the best practices. Besides, the result also reveals that the inefficiencies in investment management are mostly caused by the failure to manage all the resources at optimum level. Meanwhile, the result from Tobit analysis confirms that operating system and investment-linked product enhance the investment management efficiency of insurers and takaful operators. On the other hand, size does not provide a significant effect on the efficiency of investment management of insurers and takaful operators

Markov chain model and stationary test: a case study on Malaysia Social Security (SOCSO)

Recently, the Markov chain model, which is a model that depends on the probability of transition, has been widely used in areas related to health problems. This article aims to build the yearly transition model for the health state of workers who contribute under the Employment Injury Scheme (EIS) SOCSO in Malaysia using the Markov chain model. In addition, the stationary test is carried out to confirm whether the model can be used for the projection of transition probabilities of the contributors’ health levels

Corak kemandirian dan risiko kewangan bon korporat di Malaysia

Besides bank loans and shares, issuance of bonds is an alternative for financing needs. Nevertheless, corporate bond investors are exposed to bond financial risk, that is, the firm's inability to pay back maturity value and coupon payment. This paper aims to analyze the survival pattern and financial risk of listed corporate bonds in Malaysia. Altman's method is found most suitable because it adapts actuarial method in analyzing human mortality rates. A comparisonis made on financial risk of corporate bonds in Malaysia and those in the United States

Statistical analysis of vehicle theft crime in Peninsular Malaysia using negative binomial regression model

The aim of this paper was to identify the determinants that influence vehicle theft by applying a negative binomial regression model. The identification of these determinants is very important to policy-makers, car-makers and car owners, as they can be used to establish practical steps for preventing or at least limiting vehicle thefts. In addition, this paper also proposed a crime mapping application that allows us to identify the most risky areas for vehicle theft. The results from this study can be utilized by local authorities as well as management of internal resource planning of insurance companies in planning effective strategies to reduce vehicle theft. Indirectly, this paper has built ingenuity by combining information obtained from the database of Jabatan Perangkaan Malaysia and insurance companies to pioneer the development of location map of vehicle theft in Malaysia

Zero-inflated regression models with an application to vehicle theft count data

Poisson regression model has been widely used for modeling claim count data in actuarial and insurance literatures.However, in several cases, claim count data often have excessive number of zeros than are expected in the Poisson model. In that case the Poisson regression may underestimate the standard errors and giving misleading inference about the regression parameters. This paper aims to apply the zero-inflated regression models on vehicle theft crime data.These zero-inflation phenomenon is a very specific type of over dispersion and zero-inflated Poisson (ZIP) regression model has been suggested for handling zero-inflated data.If the crime count data continue to suggest additional over dispersion, the alternative models the zero-inflated negative binomial-1 (ZINB-1) and the zero-inflated negative binomial-2 (ZINB-2) will be fitted on the private car theft claim count data.In addition, two different forms of link function will be used in the fitting procedure of the zero-inflated regression models, producing different estimates for each model.The results of this study indicate that the ZINB-2 models is better compared to ZIP regression model for handling zero-inflated and additional overdispersed crime count data