@inproceedings{5d31357604b54f1fa44ce40aa2bf51ac,
title = "Determination of multiple period credibility premium on B{\"u}hlmann credibility model",
abstract = "B{\"u}hlmann credibility model generally used to predict premium tariff for each policyholder at (n+1)-th period based on n periods historical claims or also called one period model. In this paper, B{\"u}hlmann credibility model will able to predict more than one period or also called multiple period model. Multiple period model allows insurer to predict amount of premium not only one period ahead but also few periods ahead based on n periods historical claims. The model considers two important components, which are future claim and anticipating premium by giving weight for each component. To minimize the difference between multiple period premium and future claim also between multiple period premium and anticipating premium, quadratic programming problem is used on this paper. Quadratic programming problem is solved by Karush-Kuhn-Tucker conditions. By applying the concept of multiple period models to real data, it can be seen that the B{\"u}hlmann multiple period credibility model gives premiums more fair for each policyholder than using the one-period credibility model. By using this model, hopefully insurer enables to conduct long-term financial planning and increases effectiveness of work.",
keywords = "Anticipating premium, B{\"u}hlmann credibility model, future claim, multiple period, quadratic programming problem",
author = "H. Lazuardi and S. Nurrohmah and I. Fithriani",
year = "2020",
month = jun,
day = "1",
doi = "10.1063/5.0007955",
language = "English",
series = "AIP Conference Proceedings",
publisher = "American Institute of Physics Inc.",
editor = "Terry Mart and Djoko Triyono and Ivandini, {Tribidasari Anggraningrum}",
booktitle = "Proceedings of the 5th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2019",
note = "5th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2019 ; Conference date: 09-07-2019 Through 10-07-2019",
}