TA2 · Teori Risiko
Teori
Risiko
Modul TA2 mencakup model frekuensi dan keparahan klaim, coverage modifications, model agregat, ukuran risiko (VaR/TVaR), pembentukan model, teori kredibilitas Bühlmann–Straub, simulasi Monte Carlo, dan estimasi klaim yang belum dibayar. Ujian 3 jam · 30 soal pilihan ganda.
▸ Materi & Silabus
1.1 Moment and Probability Generating Functions Medium → 1.2 Distribution Classes and Extreme Value Hard → 1.3 Techniques for Creating New Distributions Hard → 1.4 Tail Characteristics Hard → 2.1 Frequency MGF and PGF Medium → 2.2 (a,b,0) and (a,b,1) Distribution Classes Hard → 2.3 Frequency Model Selection Hard → 2.4 Mixed Frequency Distributions Hard → 2.5 Exposure Effect on Frequency Medium → 3.1 Coverage Modifications on Severity and Frequency Calculation-Intensive → 3.2 Loss Elimination Ratio and Inflation Calculation-Intensive → 4.1 Individual and Collective Risk Models Medium → 4.2 Compound Distributions Hard → 4.3 Mean Variance and Stop-Loss Calculation-Intensive → 4.4 Aggregate Distribution Approximation Calculation-Intensive → 4.5 Panjer Recursive Formula Calculation-Intensive → 4.6 Coverage Modifications on Aggregate Models Calculation-Intensive → 5.1 Properties of Risk Measures Medium → 5.2 VaR and TVaR Hard → 6.1 Parameter Estimation Methods Calculation-Intensive → 6.2 MSE Confidence Intervals and Delta Method Hard → 6.3 Bayesian Parameter Estimation Hard → 6.4 Model Diagnostics and Selection Hard → 7.1 Classical Credibility Calculation-Intensive → 7.2 Bühlmann and Bühlmann-Straub Models Calculation-Intensive → 7.3 Bayesian Credibility Hard → 7.4 Empirical Bayesian Methods Calculation-Intensive → 8.1 Monte Carlo Simulation Concepts Medium → 8.2 Inversion Method for Random Variables Hard → 8.3 Permutation Test and Bootstrap Hard → 9.1 Long-Tail vs Short-Tail Business Medium → 9.2 Chain Ladder Method Calculation-Intensive → 9.3 Bornhuetter-Ferguson Method Calculation-Intensive → — Silabus Ta2 →