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Articles by Noriszura Ismail
Total Records ( 6 ) for Noriszura Ismail
  Ruzanna Ab Razak , Noriszura Ismail and Nor Azliana Aridi
  The Islamic stock market is exposed to global financial crisis. Its return and risk performance are likely to share similar characteristics as its conventional counterpart. This study investigates the dependence between the returns of Islamic stock market index and conventional stock market index in two periods, in which one period contains the global financial crisis. The association between the two markets increases across periods: from stable to financial crisis period. Using the copula approach, the joint returns exhibit strong symmetric dependence during the financial crisis period. The symmetric tail dependence index suggests moderate extreme dependency in times of bull and bear markets. As Malaysia is a frontier in Islamic finance, it is no surprise that many large corporations becoming Sharia-compliant companies. Hence, this phenomenon has caused the increment of association measure between Islamic and conventional stock markets across time.
  Hossein Zamani and Noriszura Ismail
  Problem statement: The modeling of claims count is one of the most important topics in actuarial theory and practice. Many attempts were implemented in expanding the classes of mixed and compound distributions, especially in the distribution of exponential family, resulting in a better fit on count data. In some cases, it is proven that mixed distributions, in particular mixed Poisson and mixed negative binomial, provided better fit compared to other distributions. Approach: In this study, we introduce a new mixed negative binomial distribution by mixing the distributions of negative binomial (r,p) and Lindley (θ), where the reparameterization of p = exp(-λ) is considered. Results: The closed form and the factorial moment of the new distribution, i.e., the negative binomial-Lindley distribution, are derived. In addition, the parameters estimation for negative binomial-Lindley via the method of moments (MME) and the Maximum Likelihood Estimation (MLE) are provided. Conclusion: The application of negative binomial-Lindley distribution is carried out on two samples of insurance data. Based on the results, it is shown that the negative binomial-Lindley provides a better fit compared to the Poisson and the negative binomial for count data where the probability at zero has a large value.
  Yulia Resti , Noriszura Ismail and Saiful Hafizah Jaaman
  Problem statement: Several studies have been carried out on the modeling of claim severity data in actuarial literature as well as in insurance practice. Since it is well established that the claim cost distributions generally have positive support and are positively skewed, the regression models of Gamma and Lognormal have been used by practitioners for modeling claim severities. However, the fitting of claim severities via regression models assumes that the claim types are independent. Approach: In this study, independent assumption between claim types will be investigated as we will consider three types of Malaysian motor insurance claims namely Third Party Body Injury (TPBI), Third Party Property Damage (TPPD) and Own Damage (OD) and applied the normal, t, Frank and Clayton copulas for modeling dependence structures between these claim types. Results: The AIC and BIC indicated that the Clayton is the best copula for modeling dependence between TPBI and OD claims and between TPPD and OD claims, whereas the t-copula is the best copula for modeling dependence between TPBI and TPPD claims. Conclusion: This study modeled the dependence between insurance claim types using copulas on the Malaysian motor insurance claim severity data. The main advantage of using copula is that each marginal distribution can be specified independently based on the distribution of individual variable and then joined by the copula which takes into account the dependence between these variables. Based on the results, the estimated of copula parameter for claim severities indicate that the dependence between claim types is significant.
  Mohamed Amraja Mohamed , Ahmad Mahir Razali and Noriszura Ismail
  Problem statement: The modeling of aggregate losses is one of the main objectives in actuarial theory and practice, especially in the process of making important business decisions regarding various aspects of insurance contracts. The aggregate losses over a fixed time period is often modeled by mixing the distributions of loss frequency and severity, whereby the distribution resulted from this approach is called a compound distribution. However, in many cases, realistic probability distributions for loss frequency and severity cannot be combined mathematically to derive the compound distribution of aggregate losses. Approach: This study aimed to approximate the aggregate loss distribution using simulation approach. In particular, the approximation of aggregate losses was based on a compound Poisson-Pareto distribution. The effects of deductible and policy limit on the individual loss as well as the aggregate losses were also investigated. Results: Based on the results, the approximation of compound Poisson-Pareto distribution via simulation approach agreed with the theoretical mean and variance of each of the loss frequency, loss severity and aggregate losses. Conclusion: This study approximated the compound distribution of aggregate losses using simulation approach. The investigation on retained losses and insurance claims allowed an insured or a company to select an insurance contract that fulfills its requirement. In particular, if a company wants to have an additional risk reduction, it can compare alternative policies by considering the worthiness of the additional expected total cost which can be estimated via simulation approach.
  Ros Idayuwati Alaudin , Noriszura Ismail , Zaidi Isa and Nuraidawani Mat Nasir
  Household expenditure is important as an indicator to financial stability of household in a country. According to economic theory, well-being is measured better by expenditure rather than by income. In general, there are various factors affecting household expenditure patterns including income, demographic and socioeconomic characteristics of each household. Therefore, this study investigates the relationship between the demographic and socioeconomic characteristics with household expenditure using Malaysian Household Expenditure Survey (HES) 2009/10 data which is based on 6480 sample of households and contains information on demographic and socioeconomic status of each household. Furthermore, we also examine household expenditure patterns according to expenditure classes which are classified into three groups; low, medium and high class expenditure. In addition, we explore the allocation of consumption expenditure of preretirement household (working household) and postretirement household (retirees)across several expenditure categories. Regression analysis with lognormal distribution and Generalized Linear Model (GLM) with Inverse Gaussian and Gamma distributions are performed to discern the effects of the demographic and socioeconomic characteristics on household expenditure patterns. The results show that GLM with Gamma distribution model is the best model followed by GLM with Inverse Gaussian distribution and multiple linear regression with lognormal distribution.
  Soo-Fen Fam , Noriszura Ismail and Abdul Aziz Jemain
  This study aims to develop a pioneer composite area-based index of socioeconomic deprivation, namely the General Index of Deprivation (GID) using Principal Component Analysis (PCA). The proposed GID which is based on combined resources of census data, administrative registration data, vital statistics and insurance data of eighty-one Administrative Districts (ADs) in Peninsular Malaysia in 2000 can be used to provide a greater understanding and interpretation of the distribution of socio-economic patterns across the ADs. This study also measures the overall and the local clustering in socio-economic deprivation across ADs in Peninsular Malaysia using Global and Local Moran’s I. Further, visualizations of the patterns of socio-economic deprivation based on the proposed GID and the locations of spatial clusters based on the Local Moran’s I are implemented by using choroplate maps. The results of GID indicate that the ADs can be ranked and classified into four quartiles; the most affluent, the moderately affluent, the moderately deprived and the most deprived. The majority of affluent areas were located in the westcoast of Peninsular Malaysia whereas the most deprived areas were mainly scattered in the Northeast of Peninsular Malaysia. The results of Global Moran’s I suggests significant and positive global spatial autocorrelation across spatial weights of the ADs. In addition, the results on Local Moran’s I show strong spatial disparities of socioeconomic deprivation in several ADs, indicating the importance of considering geographic localization and spatial condition of each AD for allocating resources and implementing efficient policies in Peninsular Malaysia.
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