Ambang Batas Reasuransi Non-Proporsional Menggunakan Tail Value-At-Risk (TVaR) dari Distribusi Peluang Campuran
David Eurico,
Afifatul Ayu Astiani,
I Kadek Darma Arnawa
et al.
Abstract:One of the tasks of banking institutions is to channel funds to the public through loan products. Banking institutions transfer the risk of non-performing loans to insurance companies and then partially reinsured to reinsurers. The purpose of this study is to determine the non-proportional reinsurance threshold based on the risk of loss of the 20% largest loan principal, using the Tail Value-at-Risk (TVaR) method. The threshold value will be estimated using a sample of 5,000 loans principal. The loan character… Show more
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