Classifying Insurance Reserve Period via Claim Frequency Domain Using Hawkes Process

Adhitya Ronnie Effendie (), Kariyam, Aisya Nugrafitra Murti, Marfelix Fernaldy Angsari and Gunardi
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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

Risks, 2022, vol. 10, issue 11, 1-21

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.

Keywords: cluster analysis; risk process; Hawkes process; insurance reserve process (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2022
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