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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

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D. Susanti

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Open access Sep 2026

Value at Risk Estimation for Life Insurance Using Monte Carlo Simulation Based on an ARIMA Model with a Generalized Error Distribution (GED) Assumption

Extreme increases in life insurance claims can threaten an insurer’s solvency and liquidity. This study estimates the Value at Risk (VaR) of monthly life insurance claims in Indonesia using an Autoregressive Integrated Moving Average (ARIMA) model with a Generalized Error Distribution (GED) innovation, combined with Mo...

Andreas Timothy, D. Susanti, K. Parmikanti · 0 citations

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