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Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process

Author

Listed:
  • Adhitya Ronnie Effendie

    (Department of Mathematics, Gadjah Mada University, Sekip Utara BLS 21, Yogyakarta 55281, Indonesia)

  • Kariyam

    (Department of Statistics, Universitas Islam Indonesia, Jl. Kaliurang Km 14.5, Sleman, Yogyakarta 55584, Indonesia)

  • Aisya Nugrafitra Murti

    (Department of Mathematics, Gadjah Mada University, Sekip Utara BLS 21, Yogyakarta 55281, Indonesia)

  • Marfelix Fernaldy Angsari

    (Department of Mathematics, Gadjah Mada University, Sekip Utara BLS 21, Yogyakarta 55281, Indonesia)

  • Gunardi

    (Department of Mathematics, Gadjah Mada University, Sekip Utara BLS 21, Yogyakarta 55281, Indonesia)

Abstract

In this paper, the insurance reserve period will be classified according to the claim frequency domain, such as high- or low-frequency periods. We use the clustering method to create and group claims data according to their frequency period. Meanwhile, we use a risk process to mimic and predict the movement of the reserve from time to time in each group of claim period that is formed. The risk process model used here is the Hawkes process, which is a one-dimensional simple point process and a special type of self-exciting process. Based on this process, we will estimate the reserve at a certain date in the future and the average historical reserve for each group period.

Suggested Citation

  • Adhitya Ronnie Effendie & Kariyam & Aisya Nugrafitra Murti & Marfelix Fernaldy Angsari & Gunardi, 2022. "Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process," Risks, MDPI, vol. 10(11), pages 1-21, November.
    • Handle: RePEc:gam:jrisks:v:10:y:2022:i:11:p:216-:d:972153
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    References listed on IDEAS

    as
    1. Peng, Roger, 2003. "Multi-dimensional Point Process Models in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 8(i16).
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