Aplikasi Model Kerugian Agregat dan Teori Kebangkrutan (Ruin Theory) Dalam Penentuan Peluang Kebangkrutan (Probability of Ruin)
Abstract
Kerugian dalam suatu perusahaan yang sangat berpengaruh pada kemampuan perusahaan itu untuk bertahan (senantiasa beroperasi). Pada artikel ini dibaahsa mengenai aplikasi model kerugian yang digunakan untuk memprediksi waktu sampai suatu perusahaan akan mengalami kebangkrutan. Model kerugian yang digunakan adalah model kerugian agregat dengan model risiko kolektif. Penentuan waktu sampai kerugian pertama terjadi melibatkan teori kebangkrutan dan model kerugian klaim dengan frekuensi berdistribusi Poison dan keparahan berdistribusi eksponensial, Pareto, dan Gamma
References
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Tse, Y. (2009). Ruin theory. In Nonlife Actuarial Models: Theory, Methods and Evaluation (International Series on Actuarial Science, pp. 143-168). Cambridge: Cambridge University Press. doi:10.1017/CBO9780511812156.009
Baxter, N. D. (1967). LEVERAGE, RISK OF RUIN AND THE COST OF CAPITAL. The Journal of Finance, 22(3), 395–403. https://doi.org/10.1111/j.1540-6261.1967.tb02975.x
B¨uhlmann, H., 1970. Mathematical Methods in Risk Theory. Springer-Verlag, Berlin, Heidelberg, New York.
Castañer, A., Claramunt, M. M., Gathy, M., Lefèvre, C., & Mármol, M. (2013). Ruin problems for a discrete time risk model with non-homogeneous conditions. Scandinavian Actuarial Journal, (2), 83–102. https://doi.org/10.1080/03461238.2010.546144
Dickson, D. C. M. (2005). Insurance risk and ruin. Insurance Risk and Ruin (pp. 1–229). Cambridge University Press. https://doi.org/10.1017/CBO9780511624155
Gerber, H. U., & Shiu, E. S. W. (1998). On the time value of ruin. North American Actuarial Journal, 2(1), 48–72. https://doi.org/10.1080/10920277.1998.10595671
Klugman, S. A., Panjer, H. H., & Willmot, G. E. (2019). Loss models: from data to decisions, 5th edition. John Wiley & Sons.
Li, S., & Sendova, K. P. (2013). The finite-time ruin probability under the compound binomial risk model. European Actuarial Journal, 3(1), 249–271. https://doi.org/10.1007/s13385-013-0063-y
Yang, C., & Sendova, K. P. (2014). The ruin time under the Sparre-Andersen dual model. Insurance: Mathematics and Economics, 54(1), 28–40. https://doi.org/10.1016/j.insmatheco.2013.10.012
Tse, Y. (2009). Ruin theory. In Nonlife Actuarial Models: Theory, Methods and Evaluation (International Series on Actuarial Science, pp. 143-168). Cambridge: Cambridge University Press. doi:10.1017/CBO9780511812156.009
Published
2022-12-07
How to Cite
[1]
Sri Dewi Anugrawati, “Aplikasi Model Kerugian Agregat dan Teori Kebangkrutan (Ruin Theory) Dalam Penentuan Peluang Kebangkrutan (Probability of Ruin)”, MSA, vol. 10, no. 2, pp. 73-78, Dec. 2022.
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Artikel
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