| dc.contributor.advisor | Purnaba, I Gusti Putu | |
| dc.contributor.advisor | Lesmana, Donny Citra | |
| dc.contributor.author | Haryanti, Maiselly | |
| dc.date.accessioned | 2021-12-28T04:20:04Z | |
| dc.date.available | 2021-12-28T04:20:04Z | |
| dc.date.issued | 2021 | |
| dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/110340 | |
| dc.description.abstract | Premi dan cadangan manfaat asuransi dipengaruhi oleh suku bunga.
Perubahan nilai suku bunga merupakan proses stokastik yang dapat diamati
menggunakan model stokastik. Tujuan dari penelitian ini adalah menentukan
premi bersih dan juga cadangan manfaat berdasarkan metode full preliminary
term untuk asuransi jiwa dwiguna sepuluh tahun menggunakan suku bunga model
stokastik. Data BI 7-day (Reverse) Repo Rate periode Mei 2016 hingga Oktober
2020 dimodelkan dengan model stokastik Cox, Ingersoll, Ross (CIR). Parameter
model CIR diestimasi menggunakan metode regresi ordinary least square. Model
CIR digunakan untuk membangkitkan data suku bunga baru yang selanjutnya
digunakan untuk simulasi dengan iterasi seratus kali pada penghitungan premi
bersih dan cadangan manfaat. Data premi bersih dan cadangan manfaat hasil dari
simulasi selanjutnya disajikan dalam bentuk selang kepercayaan 95%. Hasil
menunjukkan bahwa semakin tua peserta saat mendaftar asuransi maka semakin
pendek selang kepercayaan 95% bagi premi bersih dan cadangan manfaat pada
tahun-tahun tertentu. | id |
| dc.description.abstract | Premium and benefit reserves insurance are affected by interest rates.
Changes in the value of interest rates are stochastic process that can be observed
using a stochastic model. The purpose of this study is to determine net premium
and also benefit reserves based on full preliminary term method for ten years
endowment life insurance using a stochastic model of interest rate. BI 7-day
(Reverse) Repo Rate data from May 2016 to October 2020 was modeled using the
Cox, Ingersoll, Ross (CIR) stochastic model. The CIR model parameters were
estimated using ordinary least square regression method. The CIR model is used
to generate new interest rate data which is then used for simulation with one
hundred times iteration in calculating net premium and benefit reserves. The data
of net premium and benefit reserves from the simulation are presented in the form
of a 95% confidence interval. The results show that the older participant registered
for insurance, the shorter 95% confidence interval for the net premium and benefit
reserves in certain years. | id |
| dc.language.iso | id | id |
| dc.publisher | IPB University | id |
| dc.title | Penentuan Cadangan Manfaat Asuransi Dwiguna dengan Metode Full Preliminary Term dan Suku Bunga Model Stokastik | id |
| dc.title.alternative | Determination of Benefit Reserves on Endowment Insurance with Full Preliminary Term Method and Stochastic Interest Rates Model | id |
| dc.type | Undergraduate Thesis | id |
| dc.subject.keyword | benefit reserves | id |
| dc.subject.keyword | CIR model | id |
| dc.subject.keyword | confidence interval | id |
| dc.subject.keyword | insurance | id |
| dc.subject.keyword | premium | id |
